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Biztosítók kockázatdiverzifikációja
[Risk diversification of insurers]

Author

Listed:
  • Szüle, Borbála

Abstract

A biztosítók működését általában több homogén részállományból összetevődő heterogén biztosítási állomány jellemzi. A részállományok alkotta biztosítási portfólió esetében a kockázatdiverzifikáció vizsgálható a teljes állományra, illetve a részállományokra összesített kockázatok különbségeként, és elemezhető a kockázat és hozam kapcsolata alapján is. A biztosítók működésének főbb sajátosságait tartalmazó modellben azt mutatjuk meg, hogy a biztosítási portfólió esetében tapasztalható kockázatdiverzifikációs hatások milyen mértékben hasonlítanak a klasszikusnak számító, befektetésekkel foglalkozó Markowitz-féle portfólióelmélet által leírtakra. Modellünk alapján megállapítható: számos hasonlóságon túl a biztosító működési sajátosságai következtében a hatékony biztosítási portfóliók, illetve az optimális befektetési arányok meghatározása egyedi tulajdonságokkal jellemezhető. Journal of Economic Literature (JEL) kód: G11, G22.

Suggested Citation

  • Szüle, Borbála, 2010. "Biztosítók kockázatdiverzifikációja [Risk diversification of insurers]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 634-651.
    • Handle: RePEc:ksa:szemle:1182
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    References listed on IDEAS

    as
    1. Mesfioui, Mhamed & Quessy, Jean-Francois, 2005. "Bounds on the value-at-risk for the sum of possibly dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 135-151, August.
    2. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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