Un modèle d’évaluation des coûts agrégés liés aux assurances pour les professionnels de la santé
|Abstract:||In this master’s degree thesis, an aggregate loss model for health professionals is considered. The introduction describes some characteristics related to the insurance for health professionals: environment, type of insurance coverage, premium, cost of a claim, stochastic dependencies in the claim process and discount rate. In chapter 2, a description of theoretical concepts related to the proposed mathematical model is done: stochastic dependence (by copulas), renewal processes, discount rate (i.e. stochastic differential equations) and numerical methods. In chapter 3, the theoretical model is presented and the first moments are obtained, with deterministic numerical calculations and simulations. In chapter 4, some applications of the model are presented: first moments calculations with stochastic interest rate (Vasicek), impact of dependence on the model, premium calculations, risk measures (VaR and TVaR). In chapter 5, the conclusion follows.|
|Document Type:||Mémoire de maîtrise|
|Open Access Date:||19 April 2018|
|Collection:||Thèses et mémoires|
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