Simulation of Extreme Insured Losses in Natural Catastrophes

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901171" target="_blank" >RIV/00216275:25410/16:39901171 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.wseas.us/e-library/conferences/2016/barcelona/MCSS/MCSS-03.pdf" target="_blank" >http://www.wseas.us/e-library/conferences/2016/barcelona/MCSS/MCSS-03.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Simulation of Extreme Insured Losses in Natural Catastrophes

Popis výsledku v původním jazyce

This article aims to present the application of probability modelling and simulations based on quantile function of extreme insured losses in the world natural catastrophes based on data in time period 1970-2014, published in Swiss Re Sigma No2/2015. Quantile function provides an appropriate and flexible approach to the probability modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions. In a number of applications of quantile functions in insurance and reinsurance risk management interest focuses particularly on the extreme observations in the upper tail of probability distribution. Fortunately it is possible to simulate the observations in one tail of distribution without simulating the central values. This advantage will be used for estimate a few extreme high insured losses in the world's natural catastrophes in future.

Název v anglickém jazyce

Simulation of Extreme Insured Losses in Natural Catastrophes

Popis výsledku anglicky

This article aims to present the application of probability modelling and simulations based on quantile function of extreme insured losses in the world natural catastrophes based on data in time period 1970-2014, published in Swiss Re Sigma No2/2015. Quantile function provides an appropriate and flexible approach to the probability modelling needed to obtain well-fitted tails. We are specifically interested in modelling and simulations the tails of loss distributions. In a number of applications of quantile functions in insurance and reinsurance risk management interest focuses particularly on the extreme observations in the upper tail of probability distribution. Fortunately it is possible to simulate the observations in one tail of distribution without simulating the central values. This advantage will be used for estimate a few extreme high insured losses in the world's natural catastrophes in future.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Recent Advances in Mathematics and Computational Science

ISBN

978-1-61804-367-2

ISSN

2227-4588

e-ISSN

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Počet stran výsledku

5

Strana od-do

30-34

Název nakladatele

WSEAS Press

Místo vydání

Paris

Místo konání akce

Barcelona

Datum konání akce

13. 2. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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