Αξιολόγηση κινδύνου χρεοκοπίας και λήψη αποφάσεων μέσω συγκριτικής ανάλυσης των πιθανοτήτων χρεοκοπίας, με βάση το μέγεθος και τη συχνότητα αποζημιώσεων
Assessment of the risk of ruin and decision making, by comparison of ruin probabilities, based on the severity & the frequency of claims
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Keywords
Θεωρία κινδύνων ; Πιθανότητες χρεοκοπίας ; Θεωρία χρεοκοπίας ; Κλασικό μοντέλο ; Φερεγγυότητα ; Ασφαλιστικά χαρτοφυλάκια ; Ζημιές ; Περιθώριο ασφαλείας ; Διαχείριση κινδύνων ; Λήψη αποφάσεωνAbstract
Risk theory and ruin probabilities have been a field of research from Lundberg's era to contemporary times. The ruin theory provides the mathematical basis for the study of insurance risks and the probability of ruin of an insurance portfolio. According to the risk theory, the calculation of the ruin probability provides a measure of the insurance portfolio's solvency. This dissertation delves into the study of ruin probabilities through their comparative analysis across diverse insurance portfolios, that present different claims distributions, aiming to find the highest ruin probability, thus identifying the portfolio with the greatest risk exposure. Specifically, are examined portfolios with high claim frequency but low severity, contrasted with those exhibiting low claim frequency but high severity, maintaining fixed security loading and premiums for both portfolios. This dissertation highlights the correlation of ruin theory with the capital adequacy and solvency of an insurance company, as well as the importance of this
theory in modern risk management practices and decision-making processes. Furthermore, an overview of the Solvency II regulatory framework is incorporated. The dissertation is structured into five chapters, starting with foundational theoretical
concepts, proceeding to methodological details and numerical application analysis, and concluding with the integral role of ruin theory in capital adequacy, solvency and effective risk management within the insurance industry.