20.500.12556/RUL-111545 Delni notranji model pozavarovalnice na primeru evropske nevihte magistrsko delo Partial internal model of reinsurance company on the example of european windstorm Predstavljamo metodologijo delnega notranjega modela za izračun zahtevanega solventnostnega kapitala (SCR) za modul tveganja iz pogodb premoženjskih pozavarovanj. Na podlagi tega bomo naredili izračun na primeru pozavarovalnice, ki sklepa škodnopresežkovna pozavarovanja za dogodek evropske nevihte v šestih državah (Irski, Veliki Britaniji, Franciji, Belgiji, Nizozemski in Nemčiji), v vsaki s po tremi cedenti. Model bo zgrajen na podlagi škodne zgodovine cedentov, kjer bo uporabljen kolektivni model rizikov (Poisson – Pareto tipa II). Agregiranje bo izvedeno na dveh nivojih, nivoju posamezne države ter nato še med državami. Pri prvem bo korelacijska matrika določena na podlagi zavarovalnih vsot cedentovih portfeljev po poštnih številkah oziroma upravnih enotah, za korelacijsko matriko med državami pa bomo privzeli tisto, predpisano s strani Uredbe o Solventnosti II. Ključen pri agregiranju bo praktičen algoritem za agregiranje vzorcev porazdelitev, Iman-Conoverjeva metoda. We are presenting the methodology of partial internal model for calculation of solvency capital requirement (SCR) for the non-life underwriting risk module. Based on this we will make a calculation for the reinsurer which covers excess of loss reinsurance for the event of european windstorm in six countries (Ireland, Great Britain, France, Belgium, Netherlands and Germany), in each for three cedants. The model will be built based on the loss history of the cedants, where we will use collective risk model (Poisson – Pareto Type II). Aggregation will be done on two levels, first on the level of the individual country and then also between the countries. For the first, the correlation matrix will be determined based on sums insured of the cedant's portfolios according to post numbers or administrative units and for the correlation matrix between the countries we will use the one prescribed by Solvency II Regulation. The basis for aggregation is the practical algorithm for aggregation of samples of distributions, Iman-Conover method. Iman-Conoverjeva metoda kolektivni model rizikov delni notranji model Iman-Conover method collective risk model partial internal model true false false Slovenski jezik Angleški jezik Magistrsko delo/naloga 2019-10-03 07:45:02 2019-10-03 07:45:16 2024-05-30 10:18:34 0000-00-00 00:00:00 2019 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 102631 18738521 1098.pdf 1098.pdf 1 92FB4E18D9C26D45E720AB25B9FCEBEB 39cfb5320dbd7716afb8ddd82dbf0d56a260dcd4a633b75e4912fa4b6039a9f2 6a6910c4-a1b7-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=123417 1099.zip 1099.zip 1 2AD01613A8F3DF6D9D9DA8D4CEB2E1AD 73e9819397ef07cdf0dad8b2623cc60725b9bde45f636dc8907e2320f1339eeb 6a798238-a1b7-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=123418 Fakulteta za matematiko in fiziko 0 0 0