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Osječki matematički list, Vol. 15 No. 2, 2015.

Stručni rad

Insurance risk modelling

Danijel Grahovac orcid id orcid.org/0000-0001-6918-3456 ; Odjel za matematiku, Sveučilište u Osijeku, Osijek
Ana Leko ; Farmeron d.o.o., Osijek

Puni tekst: hrvatski pdf 425 Kb

str. 113-129

preuzimanja: 1.375

citiraj

Sažetak

Insurance companies have to plan their business so that at any time they have enough capital to pay off the arriving claims. As the claim amounts and the time of their occurrence are impossible to predict
with certainty, it is natural to model the insurer’s risk by means of stochastic models. In this paper, the basic facts are presented referring to one such model – the Cramér-Lundberg model. The usage of the model is illustrated on real claims data of one insurance company. Special attention is given to fitting the model to the data, estimating the parameters and describing the distribution of the claim amounts. It is shown that the claims can be modelled on the Pareto distribution which directly affects the estimation of the insurer’s risk.

Ključne riječi

insurance risk; Cramér–Lundberg model; risk process; Pareto distribution

Hrčak ID:

161397

URI

https://hrcak.srce.hr/161397

Datum izdavanja:

31.3.2016.

Podaci na drugim jezicima: hrvatski

Posjeta: 2.965 *