high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company

اسناد مشابه

• High volatility, thick tails and extreme value theory in value-at-risk estimation

  مقاله‌ی دسترسی آزاد۲۰۰۳Insurance: Mathematics and EconomicsRamazanGençay, FarukSelçuk, AbdurrahmanUlugülyaǧci

• کاربرد نظریه مقدار کرانگینی در برآورد مقدار در معرض خطر: بررسی موردی بیمه مسئولیت شرکت بیمه ایران

  مقاله۲۰۱۰مجله علوم آماریغدیر مهدوی، زهرا ماجدی

  بر خلاف واریانس که قدرت تفکیک انحرافات مثبت و منفی راندارد، مقدار در معرض خطر معیار مناسبی برای محاسبه ریسک‌های مالی به شمار می‌رود که ریسک‌های منفی و واقعی را تبیین نموده و از آن می‌توان برای برآورد ریسک‌های احتمالی یک شرکت بیمه استفاده کرد. از سوی دیگر بررسی توزیع خسارت‌ها، به

• An Empirical Study for Comparison of Estimation Methods for Value at Risk, Tail Value at Risk, and Adjusted Tail Value at Risk Using Extreme Value Theory Approach to Stock Market Index

  مقاله‌ی دسترسی آزاد۲۰۲۲Daya Matematis : Jurnal Inovasi Pendidikan Matematika['Sri Muslihah Bakhtiar', 'Amran Amran', 'Khaeruddin Khaeruddin', '']

  Risk management helps the financial industry to manage and estimate the risks that may occur by using risk measures. Financial series data mostly have a heavy tail distribution which causes the probability of extreme values to occur. To overcome these extreme values, it is necess

• Estimating the Tails of Loss Severity Distributioins Using Extreme Value Theory

  سند علمی۱۹۹۷ALEXANDER J. MCNEIL

  Good estimates for the tails of loss severity dustrlbutlons are essential for pricing or positioning high-excess loss layers m reinsurance We describe parametric curvefitting inethods for modelling extreme h~storlcal losses These methods revolve around the genelahzed Pareto distr

• Estimating the Tails of Loss Severity Distributions using Extreme Value Theory

  سند علمی۱۹۹۶Alexander J. McNeil

  Good estimates for the tails of loss severity distributions are essential for pricing or positioning high-excess loss layers in reinsurance. We describe parametric curvetting methods for modelling extreme historical losses. These methods revolve around the generalized Pareto dist

• Estimating Value-at-Risk in Electricity Market Based on Grey Extreme Value Theory

  سند علمی۲۰۱۵Ruiqing Wang

  How to effectively evaluate price of volatility risk is the basis of risk management in electricity market. Electricity price connotes a grey system, due to uncertainty and incomplete information for partial external or inner parameters. A two-stage model for estimating value-at-