Modelo de Contagio Dinámico: una aplicación al problema de la ruina. (Dynamic Contagion Model a Ruin Problem)

dc.contributor.advisorSánchez Vásquez, Alejandra
dc.contributor.authorRueda Corredor, Henry Steven
dc.date.accessioned2021-06-11T16:23:07Z
dc.date.available2021-06-11T16:23:07Z
dc.date.issued2021
dc.descriptiondiagramas, ilustraciones, tablasspa
dc.description.abstractEste trabajo estudia el Modelo de Contagio Dinámico y sus propiedades, propuesto por Dassios y Zhao (2011) [8], el cual es una generalización de los procesos de Hawkes y los procesos doblemente estocásticos con intensidad de shot noise con el fin de representar situaciones de apiñamiento. Este proceso estocástico incluye los saltos externamente excitados y auto-excitados para modelar el impacto que pueden llegar a tener en el sistema factores tanto exógenos como endógenos. Por medio de este proceso se simuló la probabilidad de ruina de una compañía aseguradora cuando el tamaño de las reclamaciones sigue una distribución exponencial y una Erlang tipo 2. El objetivo principal de la tesis es demostrar que el modelo es útil para simular el valor que debe destinar una Administradora de Riesgos Laborales (ARL) para determinar el monto de la reserva que permita cubrir todos los procedimientos médicos futuros de un empleado cuyo siniestro es un accidente o enfermedad laboral en Colombia. Esta aproximación se hace desde los conceptos de la Teoría de la Ruina y por consiguiente, el superávit, la condición de ganancia neta y las cotas de la probabilidad de ruina, también son estudiadas. Finalmente, se da el primer acercamiento al cálculo de la reserva para un portafolio de n empleados asegurados.spa
dc.description.abstractThis paper will focus on the study of the Dynamic Contagion Model and its properties, proposed by Dassios and Zhao (2011) [8], which is a generalisation of Hawkes processes and doubly stochastic processes with intensity of shot noise in order to model clustering situations. This stochastic process includes externally-excited and self-excited jumps to model both exogenous and endogenous factors impact on the underlying system. Through this process, we simulated the probability of ruin of an insurance company when the size of claims follows an exponential and an Erlang type 2 distribution. The aim of the thesis is to demonstrate that the model is useful to simulate the value that a professional risk managers must allocate to determine the amount of the reserve that allows to cover all the future medical procedures of an employee whose claim is an accident or occupational disease in Colombia. This approach is based on the concepts of the Theory of Ruin and, consequently, the surplus, the net profit condition and the probability of ruin are also studied. Finally, the first approach to the calculation of the reserve for a portfolio of n insured employees is also given.eng
dc.description.degreelevelMaestríaspa
dc.description.degreenameMagíster en Actuaría y Finanzasspa
dc.format.extent1 recurso en línea (67 páginas)spa
dc.format.mimetypeapplication/pdfspa
dc.identifier.instnameUniversidad Nacional de Colombiaspa
dc.identifier.reponameRepositorio Institucional Universidad Nacional de Colombiaspa
dc.identifier.repourlhttps://repositorio.unal.edu.co/spa
dc.identifier.urihttps://repositorio.unal.edu.co/handle/unal/79627
dc.language.isospaspa
dc.publisherUniversidad Nacional de Colombiaspa
dc.publisher.branchUniversidad Nacional de Colombia - Sede Bogotáspa
dc.publisher.departmentDepartamento de Matemáticasspa
dc.publisher.facultyFacultad de Cienciasspa
dc.publisher.placeBogotáspa
dc.publisher.programBogotá - Ciencias - Maestría en Actuaría y Finanzasspa
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dc.relation.referencesZhao, H. A Dynamic Contagion Process for Modelling Contagion Risk in Finance and Insurance. PhD thesis, London School of Economics, 2012.spa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.rights.licenseAtribución-NoComercial-SinDerivadas 4.0 Internacionalspa
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/spa
dc.subject.ddc330 - Economíaspa
dc.subject.otherRiesgo
dc.subject.otherRisk
dc.subject.proposalModelo de Contagio Dinámicospa
dc.subject.proposalProbabilidad de Ruinaspa
dc.subject.proposalTeoría de Ruinaspa
dc.subject.proposalProceso de Hawkesspa
dc.subject.proposalApiñamiento Puntualspa
dc.subject.proposalProceso de Contagio Dinámicospa
dc.subject.proposalDynamic Contagion Modeleng
dc.subject.proposalRuin Probabilityeng
dc.subject.proposalErlang Risk Modelseng
dc.subject.proposalModelos de Riesgo tipo Erlangspa
dc.subject.proposalCluster Point Processeng
dc.subject.proposalAdministradora de Riesgos Laborales (ARL)spa
dc.subject.unescoTeoría económica
dc.subject.unescoEconomic theory
dc.titleModelo de Contagio Dinámico: una aplicación al problema de la ruina. (Dynamic Contagion Model a Ruin Problem)
dc.title.translatedDynamic Contagion Model: an application to the ruin problemeng
dc.typeTrabajo de grado - Maestríaspa
dc.type.coarhttp://purl.org/coar/resource_type/c_bdccspa
dc.type.coarversionhttp://purl.org/coar/version/c_ab4af688f83e57aaspa
dc.type.contentTextspa
dc.type.driverinfo:eu-repo/semantics/masterThesisspa
dc.type.redcolhttp://purl.org/redcol/resource_type/TMspa
dc.type.versioninfo:eu-repo/semantics/acceptedVersionspa
oaire.accessrightshttp://purl.org/coar/access_right/c_abf2spa

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