Modelling Insured Catastrophe Losses

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39901176" target="_blank" >RIV/00216275:25410/16:39901176 - isvavai.cz</a>

Výsledek na webu

<a href="http://pliki.konferencjazakopianska.pl/proceedings_2016/pdf/Jindrova_Papouskova.pdf" target="_blank" >http://pliki.konferencjazakopianska.pl/proceedings_2016/pdf/Jindrova_Papouskova.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modelling Insured Catastrophe Losses

Popis výsledku v původním jazyce

Catastrophic events affect various regions of the world with increasing frequency and intensity. Large catastrophic events can be caused by natural phenomena or are caused by man. Serious events in recent years are often the result of terrorist acts. Catastrophe modelling is a risk management tool that uses specific methods and computer technology to help insurers, reinsurers and risk managers better assess the potential losses caused by natural and man-made catastrophes. This article describes and applies the parametric curve-fitting methods for modelling historical insured catastrophe losses. Article provides theoretical description of the Excess over Threshold Method (EOT) and presents its application to the data about insured catastrophe losses in the world in period 1970-2014, published in No 2/2015 Swiss Re study Sigma. The modelling using the EOT method follows the assumptions and conclusions in a generalized Pareto family with unknown parameters. Consequently application part of the article comprises the results of fitted insured catastrophe losses by generalized Pareto distribution using the maximum likelihood method for parameters estimation to the data above a high threshold.

Název v anglickém jazyce

Modelling Insured Catastrophe Losses

Popis výsledku anglicky

Catastrophic events affect various regions of the world with increasing frequency and intensity. Large catastrophic events can be caused by natural phenomena or are caused by man. Serious events in recent years are often the result of terrorist acts. Catastrophe modelling is a risk management tool that uses specific methods and computer technology to help insurers, reinsurers and risk managers better assess the potential losses caused by natural and man-made catastrophes. This article describes and applies the parametric curve-fitting methods for modelling historical insured catastrophe losses. Article provides theoretical description of the Excess over Threshold Method (EOT) and presents its application to the data about insured catastrophe losses in the world in period 1970-2014, published in No 2/2015 Swiss Re study Sigma. The modelling using the EOT method follows the assumptions and conclusions in a generalized Pareto family with unknown parameters. Consequently application part of the article comprises the results of fitted insured catastrophe losses by generalized Pareto distribution using the maximum likelihood method for parameters estimation to the data above a high threshold.

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

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena : conference proceedings

ISBN

978-83-65173-47-8

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

53-61

Název nakladatele

Foundation of the Cracow University of Economics

Místo vydání

Krakov

Místo konání akce

Zakopané

Datum konání akce

12. 5. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000389839000006