Simulations of Extreme Losses in Non-Life Insurance

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F09%3A00009334" target="_blank" >RIV/00216275:25410/09:00009334 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Simulations of Extreme Losses in Non-Life Insurance

Popis výsledku v původním jazyce

The objective of this article is to call attention to a new approach to statistical modelling using quantile functions. This approach can deal with many issues associated with the steps of the statistical modelling process based on quantile methods.The definition and modelling of loss distributions in non-life insurance is one of the problem areas, where obtaining a good fit to the extreme tails of a distributional model is of major importance. It is a thesis of this article that the use of models basedon quantiles provides an appropriate and flexible approach to the distributional modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions Thus is of particular relevance inreinsurance if we ale required to choose or price a high-excess layer. In this situation it is essential to find a good statistical model for the largest observed losses. .

Název v anglickém jazyce

Simulations of Extreme Losses in Non-Life Insurance

Popis výsledku anglicky

The objective of this article is to call attention to a new approach to statistical modelling using quantile functions. This approach can deal with many issues associated with the steps of the statistical modelling process based on quantile methods.The definition and modelling of loss distributions in non-life insurance is one of the problem areas, where obtaining a good fit to the extreme tails of a distributional model is of major importance. It is a thesis of this article that the use of models basedon quantiles provides an appropriate and flexible approach to the distributional modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions Thus is of particular relevance inreinsurance if we ale required to choose or price a high-excess layer. In this situation it is essential to find a good statistical model for the largest observed losses. .

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F1866" target="_blank" >GA402/09/1866: Modelování, simulace a řízení pojistných rizik</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název periodika

E+M Ekonomie a Management

ISSN

1212-3609

e-ISSN

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Svazek periodika

12

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

6

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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