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Insurance risk modelling

Danijel Grahovac   ORCID icon 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: 632* citiraj
APA 6th Edition
Grahovac, D. i Leko, A. (2015). Modeliranje rizika u osiguranju. Osječki matematički list, 15 (2), 113-129. Preuzeto s https://hrcak.srce.hr/161397
MLA 8th Edition
Grahovac, Danijel i Ana Leko. "Modeliranje rizika u osiguranju." Osječki matematički list, vol. 15, br. 2, 2015, str. 113-129. https://hrcak.srce.hr/161397. Citirano 23.06.2021.
Chicago 17th Edition
Grahovac, Danijel i Ana Leko. "Modeliranje rizika u osiguranju." Osječki matematički list 15, br. 2 (2015): 113-129. https://hrcak.srce.hr/161397
Harvard
Grahovac, D., i Leko, A. (2015). 'Modeliranje rizika u osiguranju', Osječki matematički list, 15(2), str. 113-129. Preuzeto s: https://hrcak.srce.hr/161397 (Datum pristupa: 23.06.2021.)
Vancouver
Grahovac D, Leko A. Modeliranje rizika u osiguranju. Osječki matematički list [Internet]. 2015 [pristupljeno 23.06.2021.];15(2):113-129. Dostupno na: https://hrcak.srce.hr/161397
IEEE
D. Grahovac i A. Leko, "Modeliranje rizika u osiguranju", Osječki matematički list, vol.15, br. 2, str. 113-129, 2015. [Online]. Dostupno na: https://hrcak.srce.hr/161397. [Citirano: 23.06.2021.]

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

[hrvatski]

Posjeta: 992 *