Precificação de seguro para catástrofes aéreas via simulação de Monte Carlo
Insurance is a way of splitting risks between both people and organisations. When a insurance plan is created, it has the intention of reducing the risk of suffering a monetary loss. With this in mind, insurance is created in such a way that we are able to divide the risk of loss occurring of everyo...
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| Formato: | bachelorThesis |
| Idioma: | pt_BR |
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Universidade Federal do Rio Grande do Norte
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| Endereço do item: | https://repositorio.ufrn.br/handle/123456789/34225 |
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| Resumo: | Insurance is a way of splitting risks between both people and organisations. When a insurance plan is created, it has the intention of reducing the risk of suffering a monetary loss. With this in mind, insurance is created in such a way that we are able to divide the risk of loss occurring of everyone in the plan among a larger number of people, charging an amount for each insured person that is possible to cover the loss of all the plan. It is based on this assumption that we decided to price a co-insurance plan for aircrafts, so that different airlines would be co-insurees of our plan, protecting them from suffering losses when a catastrophe occurs with any of the aircraft in their fleet, which it would imply performing different calculation methods, considering the fact that an aircraft catastrophe it is a rare event and it's occurrence is composed of extreme values. So, during all this paper we will explain how we obtained databases for its calculation, what statistical methods we use to define our insurance, such as Mixture Distributions and Monte Carlo Simulations, and finally carrying out practical simulations of how the plan would work with the parameters priced at the paper and being exposed to the risk of aerial catastrophes, analyzing the feasibility of the hypothetical co-insurance plan from a ruin process. |
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