Uporaba kopul in validacija notranjih modelov : magistrsko delo

Praček, Martin (author), Perman, Mihael (mentor)

Magistrsko delo se osredotoča na kapitalske zahteve za zavarovalnice in pozavarovalnice in zakaj jih potrebujemo. Prikazana je razlika med uporabo in implementacijo standardne formule ter lastnega internega modela. Natančneje pogledamo tudi notranje modele in potek do njihove validacije. Pri tem pogledamo še kopule in njihovo uporabo v validaciji.

• Language: Slovenian
• Keywords: zavarovanje, validacija, interni modeli, kopula
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2023
• PID: 20.500.12556/RUL-150816
• COBISS.SI-ID: 164414979
• Publication date in RUL: 24.09.2023

Secondary language

• Language: English
• Title: Usage of copulae and validation of internal models

Abstract

The master thesis focuses on capital modelling of insurance and reinsurance companies and why do we need it. It shows difference between usage and implementation of standard formula and own internal model. Another look is made at internal models and the way to their validation. We focus on copulas and their use in validation.

• Keywords: insurance, validation, internal models, copula