Modelling Insured Catastrophe Losses
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901176" target="_blank" >RIV/00216275:25410/16:39901176 - isvavai.cz</a>
Result on the web
<a href="http://pliki.konferencjazakopianska.pl/proceedings_2016/pdf/Jindrova_Papouskova.pdf" target="_blank" >http://pliki.konferencjazakopianska.pl/proceedings_2016/pdf/Jindrova_Papouskova.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modelling Insured Catastrophe Losses
Original language description
Catastrophic events affect various regions of the world with increasing frequency and intensity. Large catastrophic events can be caused by natural phenomena or are caused by man. Serious events in recent years are often the result of terrorist acts. Catastrophe modelling is a risk management tool that uses specific methods and computer technology to help insurers, reinsurers and risk managers better assess the potential losses caused by natural and man-made catastrophes. This article describes and applies the parametric curve-fitting methods for modelling historical insured catastrophe losses. Article provides theoretical description of the Excess over Threshold Method (EOT) and presents its application to the data about insured catastrophe losses in the world in period 1970-2014, published in No 2/2015 Swiss Re study Sigma. The modelling using the EOT method follows the assumptions and conclusions in a generalized Pareto family with unknown parameters. Consequently application part of the article comprises the results of fitted insured catastrophe losses by generalized Pareto distribution using the maximum likelihood method for parameters estimation to the data above a high threshold.
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
S - Specificky vyzkum na vysokych skolach
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
The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena : conference proceedings
ISBN
978-83-65173-47-8
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
53-61
Publisher name
Foundation of the Cracow University of Economics
Place of publication
Krakov
Event location
Zakopané
Event date
May 12, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000389839000006