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Non-life insurance product creation process

The seminar in Czech language has been already open.
The seminar in English language will be agreed later during the year.

Section 1: Generalized linear model (GLM) and its applications in non-life insurance

Presenter: Ing. Pavel Zimmermann, Ph.D.

  • Comparison of the classical linear model and generalized linear model
  • Specification of the generalized linear model, link function and popular distributions.
  • Parameter estimates
  • Model evaluation
  • Case studies for different tasks / data types in insurance praxis. (Pricing MTPL, laps rate, mortality models, reserving)

Section 2: Non-life insurance product creation process

Presenter: Ing. Ondřej Bušta

  • Process of pricing in non-life insurance (process flow diagram)
  • Mathematical models of nonlife insurance tariff
  • Necessary data
  • Riskiness of the insurance policy
  • Risk segmentation
  • Other components of the tariff (Risk margins, discount policy, expenses, back testing)
  • Market arbitrage

Section 3: EVT

Presenter: Ing. Ondřej Bušta

  • Introduction to EVT
  • Determination of the threshold
    o Generalized Pareto distribution
    o Estimation of distribution of the excess
    o Mean excess plot
    o Tail modeling
    o Parameter estimates (Maximum likelihood method)
  • Model tests
    o Kolmogov-Smirnov test
    o Confidence bounds of the parameters

 

 

   
 
   
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