Bayesov pristop in teorija ekstremnih vrednosti pri modeliranju velikih premoženjskih škod v pozavarovalništvu : magistrsko delo

Kavalir, Melinda (author), Bernik, Janez (mentor)

• Language: Slovenian
• Keywords: Bayesova statistika, teorija ekstremnih vrednosti, posplošena Paretova porazdelitev, premoženjsko pozavarovanje, modeliranje velikih premoženjskih škod, algoritem Metropolis-Hastings, metode Monte Carlo markovskih verig
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [M. Kavalir]
• Year: 2015
• Number of pages: VI, 57 str.
• PID: 20.500.12556/RUL-96813
• UDC: 519.22
• COBISS.SI-ID: 17283929
• Publication date in RUL: 16.10.2017

Secondary language

• Language: English
• Title: Bayesian Approach and Extreme Value Theory in Modelling Large Property Losses in Reinsurance
• Keywords: Bayesian statistics, extreme value theory, generalized Pareto distribution, property reinsurance, modelling large property losses, Metropolis-Hastings algorithm, Markov chain Monte Carlo methods