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Optimalizace parametrů zajištění v pojišťovnictví / Optimization of reinsurace parameters in insurance

This thesis is dedicated to searching optimal parameters of reinsurance with a focus of quota-share and stop-loss reinsurance. The optimization is based on minimization of value at risk and conditional value at risk of total costs of the insurer for the recieved risk. It also presents a compound random variable and shows various methods of obtaining its probability distribution, for example ap- proximation by lognormal or gamma mixtures distributions or by Panjer recurive method for continuous severity and numerical method of its solution. At the end of the thesis we can find the calculation of the optimal parameters of reinsurance for a compound random variable based on real data. We use various methods to determine probability distribution and premiums. 1

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:367662
Date January 2017
CreatorsDlouhá, Veronika
ContributorsBranda, Martin, Cipra, Tomáš
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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