Fitting probability distributions to market risk and insurance risk

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095921" target="_blank" >RIV/61989100:27510/15:86095921 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Fitting probability distributions to market risk and insurance risk

Original language description

Determining the parametric VaR approach is very important in establishing the probability distribution of a risk factor. We assume that a normal distribution is symmetric; however, it has some limitations. This distribution is used for modelling asymmetric data or data that have only positive values, such as insurance claims. The aim of the paper is to find the best probability distribution for stock exchange index returns and for insurance claims. The paper is structured as follows. Firstly, we describe the typical probability distributions used in finance, namely normal, Student, logistic, gamma, exponential and lognormal distribution, and the methods of verification. Subsequently, parameters of the distribution types are estimated via the maximum likelihood method, and after that we calculate the value at risk. The VaR is calculated even though the time series do not correspond to the stated types of proba-bility distribution; nevertheless, we calculate the value at risk for all the

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Volume of the periodical

18

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

7

Pages from-to

"167 - 173"

UT code for WoS article

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EID of the result in the Scopus database

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