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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

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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