Essays about: "Peaks over Threshold POT"

Found 5 essays containing the words Peaks over Threshold POT.

  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. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Noshkov; Zafer Demirtas; [2017]
    Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

  4. 3. An empirical comparison of extreme value modelling procedures for the estimation of high quantiles

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Alexander Engberg; [2016]
    Keywords : extreme value analysis; peaks over threshold; generalized Pareto distribution; mixture models; folding procedure;

    Abstract : The peaks over threshold (POT) method provides an attractive framework for estimating the risk of extreme events such as severe storms or large insurance claims. However, the conventional POT procedure, where the threshold excesses are modelled by a generalized Pareto distribution, suffers from small samples and subjective threshold selection. READ MORE

  5. 4. Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance

    University essay from KTH/Matematisk statistik

    Author : Philip Bramstång; Richard Hermanson; [2015]
    Keywords : ;

    Abstract : The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. READ MORE

  6. 5. Modeling Value-at-Risk(VaR) in a Small Sized Emerging Financial Market: Evidence from Botswana

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ikanyeng Segonetso; Nayram Kodjo Mensah; [2014]
    Keywords : VaR; EVT; POT; Sub Saharan Africa; policy makers; Business and Economics;

    Abstract : Aim of the study: The objective of this study is to model VaR in a small sized rapidly developing financial market in Sub-Saharan Africa which has not only served as a haven for a number of foreign investors, but also has provided the best inflation adjusted returns. This market is of profound interest given that it has received limited attention from policy analysts and previous studies. READ MORE