na študijskem programu 2. stopnje Matematika
Iva Bračič (Author), Marko Jakovac (Mentor)

Abstract

Magistrsko delo se nanaša na različne metode optimalnega pozavarovanja. Predstavljeni sta dve klasični metodi, in sicer maksimiziranje koeficienta prilagoditve in minimiziranje pričakovane vrednosti naključne spremenljivke največje skupne izgube, ter moderna metoda, v kateri se opremo na meri tveganja VaR in CTE.

Keywords

zavarovanje;optimalno pozavarovanje;VaR;CTE;teorija propada;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UM FNM - Faculty of Natural Sciences and Mathematics
Publisher: [I. Bračič]
UDC: 519.22:368.029(043.2)
COBISS: 130712835 Link will open in a new window
Views: 3
Downloads: 0
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Other data

Secondary language: English
Secondary title: Different methods of optimal reinsurance
Secondary abstract: This masterʼs thesis is based on different methods for optimal reinsurance. Two classical methods are presented, namely maximizing the adjustment coefficient and minimizing the expected value of the random variable of the maximum total loss, and a modern method relying on VaR and CTE risk measures.
Secondary keywords: insurance;optimal reinsurance;VaR;CTE;ruin theory;Zavarovanje;Matematika;Univerzitetna in visokošolska dela;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Mariboru, Fak. za naravoslovje in matematiko, Oddelek za matematiko in računalništvo
Pages: VIII, 62 f.
ID: 16958958
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