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
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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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
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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
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