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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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