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Title:Vpliv negotovosti ocenjenega parametra na tvegano vrednost porazdelitve agregatnih odškodnin
Authors:ID Dimič, Jaša (Author)
ID Jakovac, Marko (Mentor) More about this mentor... New window
ID Skernišak, Matej (Comentor)
Files:.pdf MAG_Dimic_Jasa_2021.pdf (2,42 MB)
MD5: 04FD9DB5EB27DEE4090CC712631C2731
PID: 20.500.12556/dkum/a215fab9-f664-4c19-8f32-466c359ba249
 
Language:Slovenian
Work type:Master's thesis/paper
Typology:2.09 - Master's Thesis
Organization:FNM - Faculty of Natural Sciences and Mathematics
Abstract:V magistrskem delu obravnavamo vpliv negotovosti ocenjenih parametrov na tvegano vrednost porazdelitve agregatnih odškodnin. Delo je razdeljeno na teoretičen in praktičen del. V teoretičnem delu so razloženi uvodni pojmi iz verjetnosti in statistike, opisana so zavarovanja, zavarovalne vrste, mere tveganj in modeli za krajše obdobje. Predstavljena je občutljivostna analiza, opisane pa so tudi pomembnejše zvezne porazdelitve. V praktičnem delu z uporabo občutljivostne analize in stohastičnega modeliranja preučimo kakšen vpliv ima negotovost ocenjenega parametra na izbranem portfelju avtomobilskih zavarovanj. Modeliranje izvedemo na dva načina - z oblikovanjem individualnega in agregatnnega modela virov tveganj. Na vsakem modelu analiziramo vpliv parametra negotovosti na različne tvegane vrednosti porazdelitev. Na koncu so predstavljeni rezultati simulacij in primerjava modelov.
Keywords:avtomobilsko zavarovanje, stohastičen model, občutljivostna analiza, negotovost parametra
Place of publishing:Maribor
Publisher:[J. Dimič]
Year of publishing:2021
PID:20.500.12556/DKUM-80222 New window
UDC:51-7:368.025.84(043.2)
COBISS.SI-ID:78403075 New window
Publication date in DKUM:07.10.2021
Views:848
Downloads:105
Metadata:XML RDF-CHPDL DC-XML DC-RDF
Categories:FNM
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Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:02.09.2021

Secondary language

Language:English
Title:Influence of uncertainty of the estimated parameter on the risk value of the distribution of aggregate claims
Abstract:In this thesis, we are examining the influence of the estimated parameter uncertainty on the risk value of aggregate claims distribution. The thesis is divided into the theoretical and empirical section. In the theoretical section, the introductory terms of the probability theory and statistics, insurance terms, insurance types, risk measures, and risk models for short term are defined. Presented is the sensitivity analysis with the depiction of the most important continuous distributions. In the empirical section, by using the sensitivity analysis and stochastic modelling, we are examining the influence of the estimated parameter uncertainty on the chosen automobile insurances portfolio. Two approaches have been used to construct the models – by creating an individual and aggregate risk source model. We are analysing the influence of the parameter uncertainty on different distribution risk values on each model. Finally, the simulation results and model comparison are presented.
Keywords:car insurance, stochastic model, sensitivity analysis, parameter uncertainty


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