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master's thesis
Vjerojatnost propasti
Zagreb: University of Zagreb, Faculty of Science, 2020. urn:nbn:hr:217:014126
Brnić, Iva
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Brnić, I. (2020). Vjerojatnost propasti (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:014126

Brnić, Iva. "Vjerojatnost propasti." Master's thesis, University of Zagreb, Faculty of Science, 2020. https://urn.nsk.hr/urn:nbn:hr:217:014126

Brnić, Iva. "Vjerojatnost propasti." Master's thesis, University of Zagreb, Faculty of Science, 2020. https://urn.nsk.hr/urn:nbn:hr:217:014126

Brnić, I. (2020). 'Vjerojatnost propasti', Master's thesis, University of Zagreb, Faculty of Science, accessed 23 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:014126

Brnić I. Vjerojatnost propasti [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2020 [cited 2024 December 23] Available at: https://urn.nsk.hr/urn:nbn:hr:217:014126

I. Brnić, "Vjerojatnost propasti", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:217:014126

Metadata
TitleVjerojatnost propasti
AuthorIva Brnić
MentorMiljenko Huzak (mentor)
Committee memberMiljenko Huzak (predsjednik povjerenstva)
Committee memberBojan Basrak (član povjerenstva)
Committee memberSnježana Lubura Strunjak (član povjerenstva)
Committee memberFilip Najman (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2020-09-28, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Cilj ovoga diplomskog rada bio je definirati osnovne pojmove vezane uz vjerojatnost propasti osiguravajućeg društva i dokazati neke ključne rezultate za Poissonove procese, kao što su Pollaczek-Khinchinova formula, Lundbergova nejednakost, Cramer-Lundbergova aproksimacija te izraz za vjerojatnost propasti kada isplate dolaze iz eksponencijalne distribucije. Neke od navedenih rezultata poopćili smo i za slučaj miješanih Poissonovih procesa. Također smo analizirali ovisnost vjerojatnosti propasti o parametrima modela, distribuciji isplata i distribuciji intenziteta miješanog Poissonovog procesa. Naposljetku smo opisali jedan način procjene vjerojatnosti propasti te razmotrili preciznost dobivenih procjena.
Abstract (english)
The aim of this thesis was to define the main concepts connected with the probability of ruin and to prove some of the key results for Poisson processes such as the Pollaczek-Khinchine formula, the Lundberg inequality, the Cramer-Lundberg approximation and the expression for the probability of ruin when the claims are exponentially distributed. We generalized some of those results for the mixed Poisson case as well. We also analyzed the dependence of the probability of ruin on the model parameters, the distribution of the claims and the distribution of the intensity of the mixed Poisson process. Finally, we described how to estimate the probability of ruin and discussed whether the estimation is accurate.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:014126
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 on2020-12-03 13:27:05