Title: Incorporating higher order moments into the claims reserving process
Other Titles: Implementierung höherer Momente in den Schadenreservierungsprozess
Language: English
Authors: Gruber, Philip 
Qualification level: Diploma
Advisor: Hubalek, Friedrich 
Issue Date: 2014
Number of Pages: 90
Qualification level: Diploma
Das Ziel dieser Arbeit ist die Implementierung höherer Momente in den Schadenreservierungsprozess. Ausgehend vom standard chain ladder Modell, werden Schätzer für die Schiefe und die Kurtosis der Schadenverteilung ermittelt. Diese Schätzer werden dann in einem Simulationsmodell verwendet um die gesamte Schadenverteilung zu simulieren und um die Verwendung weiterer Statistiken wie dem Value at Risk zu ermöglichen.

The aim of this thesis is introducing higher order statistics into the claims reserving process. After establishing the standard chain ladder model from [WM08], estimators for the skewness and kurtosis of the reserve risk distribution are developed. The derivation of these estimators is built on the work in [Mor12] and [Mor13]. The estimators are then used in a model framework to simulate the whole reserve risk distribution, which allows for the application of other statistics such as the Value at Risk.
Keywords: Chain-Ladder-Verfahren; Schadenreservierung; Höhere Momente; Simulation
Chain ladder method; claim reserving; higher moments; simulation
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-70656
Library ID: AC11656109
Organisation: E105 - Institut für Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

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