Μελέτη της εμφάνισης μεγάλων ζημιών σε ένα χαρτοφυλάκιο ασφάλισης αυτοκινήτων
Study of the emergence of large losses in a car insurance portfolio
Μανθόπουλος, Γεώργιος Γ.
SubjectExtreme value theory ; Multivariate analysis ; Διαχείριση χαρτοφυλακίου ; Αυτοκίνητα -- Ασφάλιση
The continuous and proper risk assessment in the insurance industry, which has been implemented so that there is adequate reserve amount to each company, was originated in the 1970s, was redefined in the mid 1990s and nowadays, with the advent of Solvency II, has become more urgent than ever. Both the number and the amount of the compensations, which arrive during a pre-specified period at an insurance company, are the most important features so as to best estimate the sufficient reserve amount needed to be held by the company. In this thesis, definitions and techniques of the risk theory have been initially illustrated in order to study the number and the size of claims. Furthermore, extreme value theory, which is typically applied to observations that exceed a predefined maximum, is meticulously presented. Finally, all the theoretical results have been applied to real world data, with the aid of the statistical software R. The conclusions of the analysis have been practically interpreted so that they could be used by any insurance company for future risk assessment.