Essays about: "Peaks Over Threshold"
Showing result 1 - 5 of 21 essays containing the words Peaks Over Threshold.
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1. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts
University essay from KTH/Matematisk statistikAbstract : To estimate the risk of a loss occurring for insurance takers is a difficult task in the insurance industry. It is an even more difficult task to price the risk for reinsurance companies which insures the primary insurers. READ MORE
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2. Into the Trading Book: Estimating Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE
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3. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation
University essay from KTH/Matematik (Avd.)Abstract : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. READ MORE
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4. Analysis of polyfunctional thiols in beer : Developing a novel method of extraction and analysis using GC-FID
University essay from Lunds universitet/Livsmedelsteknik och nutrition (master)Abstract : In this project, attempts were made to identify and quantify two polyfunctional thiols – 4-mercapto-4-methyl-pentanone and 3-mercaptohexyl acetate – and three monoterpene alcohols – linalool, geraniol, and β-citronellol – in beer samples. In order to avoid the use of hazardous compounds such as dichloromethane and hydroxymercuriobenzoate, common in traditional methods, two novel techniques were tested: a pure liquid-liquid extraction of the beer samples with cyclohexane, and a liquid-liquid extraction with cyclohexane followed by solid phase extraction on silver ion columns. READ MORE
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5. An Extreme Value Approach to Modelling Construction Defect Insurance Claims
University essay from Lunds universitet/Matematisk statistikAbstract : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. READ MORE
