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DKUM
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Title:
Vpliv franšize na VaR pri določanju popustov na zavarovalno premijo
Authors:
ID
Pernek, Valentina
(
Author
)
ID
Jakovac, Marko
(
Mentor
)
More about this mentor...
Files:
MAG_Pernek_Valentina_2018.pdf
(929,13 KB)
MD5: 4CF991CD3E543FCD0C6E96069E0887C8
PID:
20.500.12556/dkum/35b7e75f-c242-4548-93af-bfaa85cb90ae
Language:
Slovenian
Work type:
Master's thesis/paper
Typology:
2.09 - Master's Thesis
Organization:
FNM - Faculty of Natural Sciences and Mathematics
Abstract:
V delu najprej na kratko opišemo osnovne pojme iz verjetnosti in statistike. Nato predstavimo osnove premoženjskih zavarovanj in strukturo premije. V drugem delu podrobneje obravnavamo teorijo ocenjevanja izpostavljenosti v zavarovanju in izpeljemo krivulje izpostavljenosti. Opišemo tudi obe parametrizaciji MBBEFD razreda porazdelitvenih funkcij. V tretjem delu sledi opis aksiomov koherentne mere tveganja. Predstavljeni sta meri tveganja VaR in pričakovani izpad. V zadnjem delu predstavimo uporabo teorije na škodnih podatkih gospodarske družbe. Predstavimo tudi uporabo teorije ekstremnih vrednosti in napravimo sestavljen model višine škod. Na koncu z Monte Carlo simulacijo iz sestavljenega modela izračunamo VaR in pričakovani izpad skupnega stroška zavarovanca.
Keywords:
MBBEFD
,
krivulje izpostavljenosti
,
VaR
,
pričakovani izpad
,
teorija ekstremnih vrednosti
,
zavarovanje.
Place of publishing:
Maribor
Publisher:
[V. Pernek]
Year of publishing:
2018
PID:
20.500.12556/DKUM-69703
UDC:
51-7:368(043.2)
COBISS.SI-ID:
23743496
NUK URN:
URN:SI:UM:DK:L24ECGE2
Publication date in DKUM:
06.04.2018
Views:
1610
Downloads:
191
Metadata:
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:
15.02.2018
Secondary language
Language:
English
Title:
The influence of a deductible on VaR in determining discounts for an insurance premium
Abstract:
In this thesis we first briefly describe basics of probability and statistics. Then we present the basics of non-life insurance and the structure of an insurance premium. In the second part we discuss in detail the property exposure rating and derivation of exposure curve functions. We describe the first and the second parameterization for MBBEFD class of distribution functions. In the third part we describe four main axioms of a coherent risk measure. We also present the risk measure VaR and expected shortfall risk measure. In the last part we show a practical use of this theory on company loss data. We present the use of extreme value theory and construct the split severity model. In the end we calculate VaR and expected shortfall of total cost of an insured person with the help of the Monte Carlo simulation.
Keywords:
MBBEFD
,
exposure curves
,
VaR
,
expected shortfall
,
extreme value theory
,
insurance.
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