Essays about: "Generalized Extreme Value Distribution"

Showing result 1 - 5 of 26 essays containing the words Generalized Extreme Value Distribution.

1. 1. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts

   University essay from KTH/Matematisk statistik

   Author : Ormia Abdullah Mohamad; Anna Westin; [2023]
   Keywords : Reinsurance; Extreme Value Theory; POT-model; Hill estimator; Risk XL contracts; Generalized Pareto distribution; Method of Moments.; Återförsäkring; Extremevärdesteori; POT-modellen; Hill estimatorn; Risk XL kontrakt; generella Paretofördelningen; Momentmetoden.;

   Abstract : 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

3. 2. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

   University essay from KTH/Matematik (Avd.)

   Author : Eric Jakobsson; Thor Åhlgren; [2022]
   Keywords : Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

   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

4. 3. Traffic safety analysis by surrogate measures:an extreme value approach

   University essay from Lunds universitet/Matematisk statistik

   Author : Heidi Mach; [2022]
   Keywords : Mathematics and Statistics;

   Abstract : Road safety analyses are required for the prevention of road accident fatalities. In Europe, the ambition is "Vision Zero". Data that was used is collected by the research group Transport and Roads which is part of Department of Technology and Society at LTH, Lund University. READ MORE

5. 4. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

   University essay from Lunds universitet/Matematisk statistik

   Author : Matilda Ekermann; Ida Swartling; [2022]
   Keywords : Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

   Abstract : 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

6. 5. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Evelyn Dela Gbadago; [2021]
   Keywords : Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

   Abstract : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. READ MORE