DC FieldValueLanguage
dc.contributor.advisorHubalek, Friedrich-
dc.contributor.authorGruber, Philip-
dc.date.accessioned2020-06-28T21:58:04Z-
dc.date.issued2014-
dc.date.submitted2014-05-
dc.identifier.urihttps://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-70656-
dc.identifier.urihttp://hdl.handle.net/20.500.12708/4613-
dc.descriptionAbweichender Titel laut Übersetzung der Verfasserin/des Verfassers-
dc.description.abstractDas 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.de
dc.description.abstractThe 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.en
dc.formatIII, 90 Bl.-
dc.languageEnglish-
dc.language.isoen-
dc.subjectChain-Ladder-Verfahrende
dc.subjectSchadenreservierungde
dc.subjectHöhere Momentede
dc.subjectSimulationde
dc.subjectChain ladder methoden
dc.subjectclaim reservingen
dc.subjecthigher momentsen
dc.subjectsimulationen
dc.titleIncorporating higher order moments into the claims reserving processen
dc.title.alternativeImplementierung höherer Momente in den Schadenreservierungsprozessde
dc.typeThesisen
dc.typeHochschulschriftde
tuw.publication.orgunitE105 - Institut für Wirtschaftsmathematik-
dc.type.qualificationlevelDiploma-
dc.identifier.libraryidAC11656109-
dc.description.numberOfPages90-
dc.identifier.urnurn:nbn:at:at-ubtuw:1-70656-
dc.thesistypeDiplomarbeitde
dc.thesistypeDiploma Thesisen
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openaccessfulltextOpen Access-
item.openairetypeThesis-
item.openairetypeHochschulschrift-
item.fulltextwith Fulltext-
item.languageiso639-1en-
item.grantfulltextopen-
item.cerifentitytypePublications-
item.cerifentitytypePublications-
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