Evaluating Value at Risk an Expected Shortfall of individual insurance claims
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079143" target="_blank" >RIV/61989100:27510/11:86079143 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Evaluating Value at Risk an Expected Shortfall of individual insurance claims
Original language description
Value at Risk can be considered as a basic measure for quantifying market, insurance or credit risk. It can be also referred to as methodology which is used especially to determine capital requirement in banks or in insurance companies. This paper dealswith estimating Value at Risk and conditional Value at Risk of motor hull insurance portfolio within the Solvency II. Therefore, the VaR is estimated at 99.5% confidence level over one year risk horizon. We evaluate both risk measures analytically underassumption of traditional distributions, i.e. exponential, gamma and Weibull´s, and also using Extreme Value Theory to respect the fat tail of empirical distribution. We give the evidence that the both risk measures are highly underestimated when the traditional distributions are assumed. First and foremost, we describe VaR and CVaR and then we focus on Extreme Value Theory. Subsequently, we estimate both risk measures under all mentioned probability distribution conditions. In the end,
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
763-767
Publisher name
Professional Publishing
Place of publication
Prague
Event location
Janska Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600127