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Setting optimal limit of cover by stochastic optimisation

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237172" target="_blank" >RIV/61989100:27510/17:10237172 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    čeština

  • Original language name

    Setting optimal limit of cover by stochastic optimisation

  • Original language description

    The paper is focused on the setting of the optimal limit of cover for the stop-loss insurance. We respect that the loss, or severity respectively, is a random variable which follows an exponential probability distribution. Firstly, we derive the general analytical objective function which can be extended and applied also to other cases, e.g. setting optimal deductibles, coinsurance and others. Further, we derive also the general analytical objective function under the assumption that the loss follows the exponential distribution. In addition, we show that solving the problem using sampling average approximation involving Monte Carlo simulation provides similar results and that the optimisation problem can be solved also by such simplifying method.

  • Czech name

    Setting optimal limit of cover by stochastic optimisation

  • Czech description

    The paper is focused on the setting of the optimal limit of cover for the stop-loss insurance. We respect that the loss, or severity respectively, is a random variable which follows an exponential probability distribution. Firstly, we derive the general analytical objective function which can be extended and applied also to other cases, e.g. setting optimal deductibles, coinsurance and others. Further, we derive also the general analytical objective function under the assumption that the loss follows the exponential distribution. In addition, we show that solving the problem using sampling average approximation involving Monte Carlo simulation provides similar results and that the optimisation problem can be solved also by such simplifying method.

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50202 - Applied Economics, Econometrics

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2017

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Financial Management of Firms and Financial Institutions : 11th international scientific conference : 6th - 7th September 2017, Ostrava, Czech Republic : proceedings.

  • ISBN

    978-80-248-4138-0

  • ISSN

  • e-ISSN

    2336-162X

  • Number of pages

    6

  • Pages from-to

    901-906

  • Publisher name

    VŠB - Technická univerzita Ostrava

  • Place of publication

    Ostrava

  • Event location

    Ostrava

  • Event date

    Sep 6, 2017

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article

    000508278200110