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master's thesis
Modeli rizika u aktuarstvu
Zagreb: University of Zagreb, Faculty of Science, 2022. urn:nbn:hr:217:496649
Lovrić, Tea
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Lovrić, T. (2022). Modeli rizika u aktuarstvu (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:496649

Lovrić, Tea. "Modeli rizika u aktuarstvu." Master's thesis, University of Zagreb, Faculty of Science, 2022. https://urn.nsk.hr/urn:nbn:hr:217:496649

Lovrić, Tea. "Modeli rizika u aktuarstvu." Master's thesis, University of Zagreb, Faculty of Science, 2022. https://urn.nsk.hr/urn:nbn:hr:217:496649

Lovrić, T. (2022). 'Modeli rizika u aktuarstvu', Master's thesis, University of Zagreb, Faculty of Science, accessed 26 November 2024, https://urn.nsk.hr/urn:nbn:hr:217:496649

Lovrić T. Modeli rizika u aktuarstvu [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2022 [cited 2024 November 26] Available at: https://urn.nsk.hr/urn:nbn:hr:217:496649

T. Lovrić, "Modeli rizika u aktuarstvu", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:217:496649

Metadata
TitleModeli rizika u aktuarstvu
Title (english)Risk models in actuarial science
AuthorTea Lovrić
MentorMiljenko Huzak (mentor)
Committee memberMiljenko Huzak (predsjednik povjerenstva)
Committee memberIlja Gogić (član povjerenstva)
Committee memberDražen Adamović (član povjerenstva)
Committee memberMaja Resman (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2022-12-01, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Ovaj diplomski rad bavi se opisivanjem modela rizika u aktuarstvu. Obrađuju se individualni i kolektivni model rizika. Oba modela opisuju ukupni iznos zahtjeva S (tj. skupnu štetu) koji proizlaze iz danog portfelja polica osiguranja u nekom fiksnom vremenskom periodu. U radu se, za oba modela, predstavljaju egzaktne i aproksimativne tehnike koje se koriste pri određivanju funkcije distribucije slučajne varijable S . Za kolektivni model se izvodi Panjerova rekurzivna formula za egzaktno računanje funkcije distribucije od S . Također, funkcija distribucije od S se aproksimira normalnom i translatiranom gama distribucijom. Za individualni model se izvodi De Prilova rekurzivna formula kao egzaktna metoda. Od aproksimativnih metoda je prikazana Kornyina metoda te aproksimacija složenom Poissonovom distribucijom.
Abstract (english)
This thesis introduces risk models in actuarial science. Models that are described are individual and collective risk models. Both models describe total claim amount S (i.e. total damage) that arises from a given portfolio of insurance policies in a fixed period of time. Thesis presents both exact and approximative techniques used to determine the distribution function of random variable S . For the collective model the Panjer’s recursive formula is being developed for exact calculating of the distribution function of S . Also, the distribution function of S is approximated by normal and translated gamma distribution. For the individual model De Pril’s recursive method is being developed as an exact method. Approximative methods that are shown are Kornya’s method and compound Poisson approximation.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:496649
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2022-12-16 14:01:55