magistrsko delo
Špela Podgoršek (Author), Tomaž Košir (Mentor)

Abstract

Numerične metode za vrednotenje življenjskih zavarovanj

Keywords

matematika;življenjsko zavarovanje;odkupna opcija;Monte Carlo simulacija;PDE metoda;Monte Carlo metoda najmanjših kvadratov;Black-Scholesov model;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [Š. Podgoršek]
UDC: 519.8
COBISS: 16951897 Link will open in a new window
Views: 674
Downloads: 263
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Numerical methods for valuation of life insurance contracts
Secondary keywords: mathematics;life insurance;surrender option;Monte Carlo simulation;PDE methods;least-square Monte Carlo;Black-Scholes model;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 46 f.
ID: 10911095