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Odporność składki kwantylowej ze względu na zaburzenia rozkładu wielkości pojedynczej szkody w modelu ryzyka łącznego

Author

Listed:
  • Arkadiusz Filip

    (Szkoła Główna Handlowa w Warszawie)

  • Marcin Wienke

    (Szkoła Główna Handlowa w Warszawie)

Abstract

Artykuł porusza problem kalkulacji składki przez zakład ubezpieczeń za pomocą metody kwantylowej przy zastosowaniu kolektywnego modelu ryzyka. W ustalonym modelu matematycznym wyliczenie składki wiąże się z błędami aproksymacji wynikającymi z zastosowania jednej z wielu dostępnych metod aproksymacji łącznego rozkładu szkód i zagadnieniem odporności składki na różnego rodzaju zaburzenia. W wyliczeniach uwzględniono możliwość popełnienia różnych błędów w procesie kalkulacji składki, wynikających z faktu, że zakład ubezpieczeń nie dysponuje pełną wiedzą o charakterystykach procesu szkodowego i jest zmuszony przyjmować o nim pewne założenia. Wrażliwość otrzymywanych wyników została zbadana ze względu na zmiany wielkości portfela ubezpieczeniowego, rozkładów prawdopodobieństwa używanych do modelowania wielkości pojedynczej szkody, metody aproksymacji, siły zaburzenia i rzędu kwantyla używanego do wyliczenia składki.

Suggested Citation

  • Arkadiusz Filip & Marcin Wienke, 2013. "Odporność składki kwantylowej ze względu na zaburzenia rozkładu wielkości pojedynczej szkody w modelu ryzyka łącznego," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 137-155.
    • Handle: RePEc:sgh:annals:i:31:y:2013:p:137-155
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    References listed on IDEAS

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