Brownovo gibanje u osiguranju

master's thesis

• Title (english): Brownian motion in insurance
• Author: Ena Aničić
• Mentor: Zoran Vondraček (mentor)
• Committee member: Vanja Wagner (predsjednik povjerenstva)
• Committee member: Hrvoje Planinić (član povjerenstva)
• Committee member: Marko Tadić (član povjerenstva)
• Committee member: Goran Muić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2023-03-03, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U ovom radu proučavali smo politiku reosiguranja i potražnje za priljevima novaca s ciljem očuvanja poslovanja tvrtke i spašavanja iste od propasti. Cilj modela bio je ustvrditi trenutke u kojima je potrebno zatražiti priljev novaca te njihov iznos, pronaći optimalnu razinu reosiguranja (za oba oblika reosiguranja) te funkciju vrijednosti koja prati troškove firme i minimizira ih. Optimalna funkcija vrijednosti pronađena je eksplicitno pomoću kvazi-varijacijskih nejednakosti i radi se o eksponencijalnoj funkciji. Trenuci u kojima je potrebno zatražiti priljeve novaca su upravo oni u kojima dolazi do propasti poslovanja (pričuva je jednaka nuli). Iznosi priljeva novaca kao i optimalna razina reosiguranja su konstante. Time je optimalna politika koja kontrolira pričuvu modelirana difuzijskim procesom sa skokovima gdje je pričuvni proces Brownovo gibanje s konstantnim driftom i konstatnim skokovima napravljenima u trenucima propasti poslovanja.

Abstract (english)

In this paper, we studied an optimal reinsurance policy as well as the optimal policy of cash-injection calls. The presented model establishes the moments in which it is necessary to request cash injections and determines their amount, it also finds the optimal level of reinsurance (for both forms of reinsurance) and the value function that minimizes the cost. The optimal value function is found explicitly using QVI and is an exponential function. Cash-injections are optimally called at the moment of ruins (surplus is equal to zero) and their amount was found to be constant. The optimal level of reinsurance is also found to be constant. Thus, the optimal policy that controls surplus process was modeled by jumpdiffusion process and the surplus process became a Brownian motion with a constant drift and constant jumps at the times of ruin.

• Keywords: politika reosiguranja; optimalna razina reosiguranja; kvazi-varijacijske nejednakosti; difuzijski proces sa skokovima
• Keywords (english): reinsurance policy; optimal level of reinsurance; QVI; jumpdiffusion process
• Language: croatian
• URN:NBN: urn:nbn:hr:217:649955
• Study programme: Title: Mathematical Statistics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-03-21 13:44:09