| dc.contributor.advisor | Šváb, Jan | |
| dc.creator | Obdržálková, Ludmila | |
| dc.date.accessioned | 2017-04-20T16:55:44Z | |
| dc.date.available | 2017-04-20T16:55:44Z | |
| dc.date.issued | 2009 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11956/27665 | |
| dc.description.abstract | There is proposed and described stochastic approach of calculation of IBNR reserve based on modelling loss development in time using copulas in this thesis. The first chapter determinates basic terms of copula theory and gives compact summary of most widely known copula families. Particular steps of calculation of IBNR reserve follow in the second chapter. The calculation is demonstrated numerically over the casco insurance. The resultant distribution is compared with distribution obtained by Mack's model for the Chain ladder method. | en_US |
| dc.language | Čeština | cs_CZ |
| dc.language.iso | cs_CZ | |
| dc.publisher | Univerzita Karlova, Matematicko-fyzikální fakulta | cs_CZ |
| dc.title | Modelování výše škod v čase pomocí kopulí | cs_CZ |
| dc.type | diplomová práce | cs_CZ |
| dcterms.created | 2009 | |
| dcterms.dateAccepted | 2009-09-22 | |
| dc.description.department | Department of Probability and Mathematical Statistics | en_US |
| dc.description.department | Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.description.faculty | Faculty of Mathematics and Physics | en_US |
| dc.description.faculty | Matematicko-fyzikální fakulta | cs_CZ |
| dc.identifier.repId | 46844 | |
| dc.title.translated | Modelling the Loss Development in Time with Aid of Copulas | en_US |
| dc.contributor.referee | Justová, Iva | |
| dc.identifier.aleph | 001171467 | |
| thesis.degree.name | Mgr. | |
| thesis.degree.level | navazující magisterské | cs_CZ |
| thesis.degree.discipline | Finanční a pojistná matematika | cs_CZ |
| thesis.degree.discipline | Financial and insurance mathematics | en_US |
| thesis.degree.program | Matematika | cs_CZ |
| thesis.degree.program | Mathematics | en_US |
| uk.thesis.type | diplomová práce | cs_CZ |
| uk.taxonomy.organization-cs | Matematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| uk.taxonomy.organization-en | Faculty of Mathematics and Physics::Department of Probability and Mathematical Statistics | en_US |
| uk.faculty-name.cs | Matematicko-fyzikální fakulta | cs_CZ |
| uk.faculty-name.en | Faculty of Mathematics and Physics | en_US |
| uk.faculty-abbr.cs | MFF | cs_CZ |
| uk.degree-discipline.cs | Finanční a pojistná matematika | cs_CZ |
| uk.degree-discipline.en | Financial and insurance mathematics | en_US |
| uk.degree-program.cs | Matematika | cs_CZ |
| uk.degree-program.en | Mathematics | en_US |
| thesis.grade.cs | Výborně | cs_CZ |
| thesis.grade.en | Excellent | en_US |
| uk.abstract.en | There is proposed and described stochastic approach of calculation of IBNR reserve based on modelling loss development in time using copulas in this thesis. The first chapter determinates basic terms of copula theory and gives compact summary of most widely known copula families. Particular steps of calculation of IBNR reserve follow in the second chapter. The calculation is demonstrated numerically over the casco insurance. The resultant distribution is compared with distribution obtained by Mack's model for the Chain ladder method. | en_US |
| uk.file-availability | V | |
| uk.publication.place | Praha | cs_CZ |
| uk.grantor | Univerzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.identifier.lisID | 990011714670106986 | |
