Μέθοδοι Monte Carlo προσομοίωσης σε μοντέλα της αναλογιστικής επιστήμης

Αγγελοπούλου, Ειρήνη

Monte Carlo methods in actuarial modeling

Master Thesis

Author

Αγγελοπούλου, Ειρήνη

Date

2017-06

Abstract

Modeling and Simulation are very important tools for actuarial science, as in many cases analytic solutions may not be available or very difficult to obtain. In this MSc thesis we will initially review the most important premium principles and risk measures and examine the properties that they must satisfy (Chapters 1 and 2). In Chapter 3, we will present specific actuarial methods of life insurance, as well as the calculation of the premium and the prospective reserve of a term insurance contract. In addition we will also review several methods of nonlife insurance. We will describe the individual and collective model and define the ruin probability according to the Cramer-Lundberg model. In the final and most important chapter we study via Monte Carlo Simulation most of the actuarial methods we presented in the preceding chapters. All simulations are performed using the statistical pack-age R.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10249

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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