Simulation of the highest insured catastrophe losses using quantile function

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901173" target="_blank" >RIV/00216275:25410/16:39901173 - isvavai.cz</a>
Result on the web
<a href="http://www.naun.org/main/NAUN/mcs/2016/a622002-272.pdf" target="_blank" >http://www.naun.org/main/NAUN/mcs/2016/a622002-272.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Simulation of the highest insured catastrophe losses using quantile function
Original language description
Catastrophe modelling and simulations are risk management tools using computer technology to help insurers, reinsurers and risk managers better assess the potential losses caused by natural and man-made catastrophes. This article aims to present methods for modelling and simulation of extreme insured losses using quantile function based on data caused the world natural catastrophes in time period 1970-2014, published in Swiss Re Sigma No2/2015. Our interest focuses particularly on the extreme observations in the upper tail of loss distributions. We have shown that it is possible to simulate the losses in upper tail of distribution without simulating the central values. This advantage will be used for simulation a few values of the highest insured losses in the world's natural catastrophes in the future.
Czech name
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Czech description
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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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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
International Journal of Mathematics and Computers in Simulation
ISSN
1998-0159
e-ISSN
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Volume of the periodical
10
Issue of the periodical within the volume
2016
Country of publishing house
US - UNITED STATES
Number of pages
7
Pages from-to
242-248
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-84969135240

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