Evaluating Value at Risk an Expected Shortfall of individual insurance claims

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Evaluating Value at Risk an Expected Shortfall of individual insurance claims

Popis výsledku v původním jazyce

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,

Název v anglickém jazyce

Evaluating Value at Risk an Expected Shortfall of individual insurance claims

Popis výsledku anglicky

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,

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Počet stran výsledku

5

Strana od-do

763-767

Název nakladatele

Professional Publishing

Místo vydání

Prague

Místo konání akce

Janska Dolina

Datum konání akce

6. 9. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000309074600127