Hodnocení pojistných produktů za rizika

Abstract

The aim of this master thesis is setting of the optimal limit value for the stop-loss insurance and the selection of the insurance product. We assumed that the random loss follows an exponential probability distrubution. In this thesis we provided an active aproach to the selection and setting insurance products. We search for the optimal limit value for motor insurance coverage, respecting the stochastic nature of individual loss. We formulated a problem of stochastic programming where the total expected potential financial loss of policyholder is minimized. We formulated several tasks including setting the optimal limit value and setting optimal deductibles or coinsurance. The problem is solved using Monte Carlo simulation. Also, there is selected the optimal insurance product using multi-criteria decision making methods and using the stochastic optimization.