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National Repository of Grey Literature 2 records found  Search took 0.02 seconds. 
Insurance pricing methods based on risk measures
 Malá, Kateřina ; Branda, Martin (advisor) ; Mazurová, Lucie (referee)
In this thesis we study various risk measures and one of their characteristics - the coherence. We talk especially about value-at-risk (VaR in short), respectively about conditional value-at- risk (CVaR). We also mention the advantage of CVaR against VaR. After that we discuss the most common forms of compound distribution that are used in practice. The final part of this bachelor thesis is dedicated to a numerical study where we calculate mean, variance, VaR a CVaR for specific values of parameters.
Detailed record
Insurance pricing methods based on risk measures
 Malá, Kateřina ; Branda, Martin (advisor) ; Mazurová, Lucie (referee)
In this thesis we study various risk measures and one of their characteristics - the coherence. We talk especially about value-at-risk (VaR in short), respectively about conditional value-at- risk (CVaR). We also mention the advantage of CVaR against VaR. After that we discuss the most common forms of compound distribution that are used in practice. The final part of this bachelor thesis is dedicated to a numerical study where we calculate mean, variance, VaR a CVaR for specific values of parameters.
Detailed record

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