1. Computing the aggregate claims distribution
- Author
-
Dlouhá, Veronika, Pešta, Michal, and Cipra, Tomáš
- Subjects
Panjer recursive formula ,Panjerova rekurzivní formula ,aggregate claims ,kolektivní model ,aproximace distribucí ,agregované škody ,rychlá Fourierova transformace ,approximation of distribution ,collective model ,fast Fourier transform - Abstract
In this bachelor thesis I study the distribution of aggregate claims. First I introduce the topic and present main models. Then, I show some distributions used for modeling number and amound of claims with estimates of their parameters. Next I get to compound distribution and its basic charakteristics. In other parts of the thesis I study the probability of aggregate claims using Panjer recursion and fast Fourier transform and apply the thoery to examples. Finally I mention some methods to approximate aggregate claims using known distribution.
- Published
- 2015