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Simulations of Extreme Losses in Non-Life Insurance

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F09%3A00009334" target="_blank" >RIV/00216275:25410/09:00009334 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Simulations of Extreme Losses in Non-Life Insurance

  • Original language description

    The objective of this article is to call attention to a new approach to statistical modelling using quantile functions. This approach can deal with many issues associated with the steps of the statistical modelling process based on quantile methods.The definition and modelling of loss distributions in non-life insurance is one of the problem areas, where obtaining a good fit to the extreme tails of a distributional model is of major importance. It is a thesis of this article that the use of models basedon quantiles provides an appropriate and flexible approach to the distributional modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions Thus is of particular relevance inreinsurance if we ale required to choose or price a high-excess layer. In this situation it is essential to find a good statistical model for the largest observed losses. .

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA402%2F09%2F1866" target="_blank" >GA402/09/1866: Modelling, Simulations and Management of Insurance Risks</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2009

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    E+M Ekonomie a Management

  • ISSN

    1212-3609

  • e-ISSN

  • Volume of the periodical

    12

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    6

  • Pages from-to

  • UT code for WoS article

  • EID of the result in the Scopus database