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
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DOI - Digital Object Identifier
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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
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Czech description
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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
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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
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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
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UT code for WoS article
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EID of the result in the Scopus database
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