Modelování výše škod v čase pomocí kopulí

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.