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Simulation of Extreme Insured Losses in Natural Catastrophes

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901171" target="_blank" >RIV/00216275:25410/16:39901171 - isvavai.cz</a>

  • Result on the web

    <a href="http://www.wseas.us/e-library/conferences/2016/barcelona/MCSS/MCSS-03.pdf" target="_blank" >http://www.wseas.us/e-library/conferences/2016/barcelona/MCSS/MCSS-03.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Simulation of Extreme Insured Losses in Natural Catastrophes

  • Original language description

    This article aims to present the application of probability modelling and simulations based on quantile function of extreme insured losses in the world natural catastrophes based on data in time period 1970-2014, published in Swiss Re Sigma No2/2015. Quantile function provides an appropriate and flexible approach to the probability modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions. In a number of applications of quantile functions in insurance and reinsurance risk management interest focuses particularly on the extreme observations in the upper tail of probability distribution. Fortunately it is possible to simulate the observations in one tail of distribution without simulating the central values. This advantage will be used for estimate a few extreme high insured losses in the world's natural catastrophes in future.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2016

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Recent Advances in Mathematics and Computational Science

  • ISBN

    978-1-61804-367-2

  • ISSN

    2227-4588

  • e-ISSN

  • Number of pages

    5

  • Pages from-to

    30-34

  • Publisher name

    WSEAS Press

  • Place of publication

    Paris

  • Event location

    Barcelona

  • Event date

    Feb 13, 2016

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article