Testiranje stabilnosti portfelja imovine hrvatskih osiguravajućih društava primjenom nenadziranog učenja

professional thesis

• Title (english): Testing the stability of the Croatian insurance companies asset portfolio using unsupervised learning
• Author: Renata Kovačević
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Stjepan Begušić (predsjednik povjerenstva)
• Committee member: Zvonko Kostanjčar (član povjerenstva)
• Committee member: Azra Tafro (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; (Department of Electronic Systems and Information Processing); Zagreb
• Defense date and country: 2022-12-22, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

U ovom radu testiramo stabilnost portfelja imovine hrvatskih osiguravajućih društva konstrukcijom odgovarajućeg benchmarka, te praćenjem i analizom razine njegove diverzifikacije kroz period od dvadeset godina. Primjenom analize glavnih komponenta mjerili smo osjetljivost benchmarka na sistemski rizik tržišta na način da smo u različitim periodima promatranja promatrali količinu varijance objašnjene prvom glavnom komponentom. Pokazana je inverzna veza između ukupne diverzifikacije benchmarka i sistemskog rizika te postojanje neiskorištenog diverzifikacijskog potencijala benchmarka, u svim promatranim periodima analize. Dodatno, istim metodama analizirali smo benchmark sa uključenim instrumentima zaštite od valutnog, cjenovnog i kamatnog rizika pri čemu je pokazana veća stabilnost obzirom na benchmark bez zaštite, na ukupnom periodu promatranja i posebno u trenucima tržišnih kriza.

Abstract (english)

In this paper, we tested the stability of an average Croatian insurance company asset portfolio by constructing an appropriate benchmark, and by monitoring and analyzing the level of its diversification over a period of twenty years. By applying the method of principal components analysis, we measured the sensitivity of the benchmark towards systematic market risk by observing the amount of variance explained by the first principal component, in different periods of observation. We have shown the existence of an inverse relationship between the overall diversification of our benchmark and systematic risk of the market, as well as the existence of an unused diversification potential of the benchmark, for all of the different periods of observation. In addition, using the same methods, we analyzed the benchmark with included specialized instruments for currency, price and interest rate risk reduction, where greater stability was shown compared to the benchmark without any risk protection instruments, over the entire observated period and especially during market crises.

• Keywords: portfelj imovine; hrvatska osiguravajuća društva; sistemski rizik tržišta; diverzifikacija benchmarka; zaštita od valutnog rizika; zaštita od cjenovnog rizika; zaštita od kamatnog rizika
• Keywords (english): asset portfolio; Croatian insurance companies; systemic market risk; benchmark diversification; currency risk protection; price risk protection; interest rate risk protection
• Language: croatian
• URN:NBN: urn:nbn:hr:168:667392
• Study programme: Title: INSURTECH; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica digitalnih inovacija i tehnologija u osiguranju (sveučilišni/a specijalist/specijalistica digitalnih inovacija i tehnologija u osiguranju)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-03-28 07:52:11