Essays about: "Hill estimator"

Found 4 essays containing the words Hill estimator.

  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. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  4. 3. The use of extreme value theory and time series analysis to estimate risk measures for extreme events.

    University essay from Institutionen för fysik

    Author : Sofia Rydell; [2013]
    Keywords : extremvärdesteori; matematik; fysik;

    Abstract : In this thesis the main purpose is to use extreme value theory and time series analysis to find modelsfor estimating the two risk measures for potential losses, value at risk and expected shortfall. Focus ison the time horizon needed to obtain predictions that are consistent with the actual outcome of anasset or a portfolio of assets. READ MORE

  5. 4. Tail Estimation for Large Insurance Claims, an Extreme Value Approach.

    University essay from Institutionen för datavetenskap, fysik och matematik, DFM

    Author : Mattias Nilsson; [2010]
    Keywords : Extremal theory; extreme value distribution; maximum domain of attracion; the Hill estimator; Pareto distribution; large insurance claims.; Extremvärdesteori; extremvärdesfördelning; maxima antagande; Hill; Paretofördelning; stora försäkringsskador.;

    Abstract : In this thesis are extreme value theory used to estimate the probability that large insuranceclaims are exceeding a certain threshold. The expected claim size, given that the claimhas exceeded a certain limit, are also estimated. Two different models are used for thispurpose. The first model is based on maximum domain of attraction conditions. READ MORE