magistrsko delo
Melinda Kavalir (Author), Janez Bernik (Mentor)

Abstract

Bayesov pristop in teorija ekstremnih vrednosti pri modeliranju velikih premoženjskih škod v pozavarovalništvu

Keywords

Bayesova statistika;teorija ekstremnih vrednosti;posplošena Paretova porazdelitev;premoženjsko pozavarovanje;modeliranje velikih premoženjskih škod;algoritem Metropolis-Hastings;metode Monte Carlo markovskih verig;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [M. Kavalir]
UDC: 519.22
COBISS: 17283929 Link will open in a new window
Views: 921
Downloads: 610
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Other data

Secondary language: English
Secondary title: Bayesian Approach and Extreme Value Theory in Modelling Large Property Losses in Reinsurance
Secondary keywords: Bayesian statistics;extreme value theory;generalized Pareto distribution;property reinsurance;modelling large property losses;Metropolis-Hastings algorithm;Markov chain Monte Carlo methods;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: VI, 57 str.
ID: 10911034