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professional thesis
Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2022. urn:nbn:hr:168:667392
Kovačević, Renata
University of Zagreb
Faculty of Electrical Engineering and Computing
Department of Electronic Systems and Information Processing

Institutional repository: FER Repository

Cite this document

Kovačević, R. (2022). Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja (Professional thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:667392

Kovačević, Renata. "Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja." Professional thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2022. https://urn.nsk.hr/urn:nbn:hr:168:667392

Kovačević, Renata. "Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja." Professional thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2022. https://urn.nsk.hr/urn:nbn:hr:168:667392

Kovačević, R. (2022). 'Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja', Professional thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 04 November 2024, https://urn.nsk.hr/urn:nbn:hr:168:667392

Kovačević R. Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja [Professional thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2022 [cited 2024 November 04] Available at: https://urn.nsk.hr/urn:nbn:hr:168:667392

R. Kovačević, "Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja", Professional thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:168:667392

Metadata
TitleTestiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja
Title (english)Testing the stability of the Croatian insurance companies asset portfolio using unsupervised learning
AuthorRenata Kovačević
MentorZvonko Kostanjčar (mentor)
Committee memberStjepan Begušić (predsjednik povjerenstva)
Committee memberZvonko Kostanjčar (član povjerenstva)
Committee memberAzra Tafro (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
(Department of Electronic Systems and Information Processing)
Zagreb
Defense date and country2022-12-22, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
U ovom radu testiramo stabilnost portfelja imovine hrvatskih osiguravajućih društva konstrukcijom odgovarajućeg benchmarka, te praćenjem i analizom razine njegove diverzifikacije kroz period od dvadeset godina. Primjenom analize glavnih komponenta mjerili smo osjetljivost benchmarka na sistemski rizik tržišta na način da smo u različitim periodima promatranja promatrali količinu varijance objašnjene prvom glavnom komponentom. Pokazana je inverzna veza između ukupne diverzifikacije benchmarka i sistemskog rizika te postojanje neiskorištenog diverzifikacijskog potencijala benchmarka, u svim promatranim periodima analize. Dodatno, istim metodama analizirali smo benchmark sa uključenim instrumentima zaštite od valutnog, cjenovnog i kamatnog rizika pri čemu je pokazana veća stabilnost obzirom na benchmark bez zaštite, na ukupnom periodu promatranja i posebno u trenucima tržišnih kriza.
Abstract (english)
In this paper, we tested the stability of an average Croatian insurance company asset portfolio by constructing an appropriate benchmark, and by monitoring and analyzing the level of its diversification over a period of twenty years. By applying the method of principal components analysis, we measured the sensitivity of the benchmark towards systematic market risk by observing the amount of variance explained by the first principal component, in different periods of observation. We have shown the existence of an inverse relationship between the overall diversification of our benchmark and systematic risk of the market, as well as the existence of an unused diversification potential of the benchmark, for all of the different periods of observation. In addition, using the same methods, we analyzed the benchmark with included specialized instruments for currency, price and interest rate risk reduction, where greater stability was shown compared to the benchmark without any risk protection instruments, over the entire observated period and especially during market crises.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:667392
Study programmeTitle: INSURTECH
Study programme type: university
Study level: postgraduate specialist
Academic / professional title: sveučilišni/a specijalist/specijalistica digitalnih inovacija i tehnologija u osiguranju (sveučilišni/a specijalist/specijalistica digitalnih inovacija i tehnologija u osiguranju)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2023-03-28 07:52:11