Modelling Insured Catastrophe Losses
Konferenční objektOtevřený přístuppeer-reviewedpostprintDatum publikování
2016
Vedoucí práce
Oponent
Název časopisu
Název svazku
Vydavatel
Foundation of the Cracow University of Economics
Abstrakt
Catastrophic events affect various regions of the world with increasing frequency and intensity. Large catastrophic events can be caused by natural phenomena or are caused by man. Serious events in recent years are often the result of terrorist acts. Catastrophe modelling is a risk management tool that uses specific methods and computer technology to help insurers, reinsurers and risk managers better assess the potential losses caused by natural and man-made catastrophes. This article describes and applies the parametric curve-fitting methods for modelling historical insured catastrophe losses. Article provides theoretical description of the Excess over Threshold Method (EOT) and presents its application to the data about insured catastrophe losses in the world in period 1970-2014, published in No 2/2015 Swiss Re study Sigma. The modelling using the EOT method follows the assumptions and conclusions in a generalized Pareto family with unknown parameters. Consequently application part of the article comprises the results of fitted insured catastrophe losses by generalized Pareto distribution using the maximum likelihood method for parameters estimation to the data above a high threshold.
Rozsah stran
p. 53-61
ISSN
Trvalý odkaz na tento záznam
Projekt
SGS_2016_023/Ekonomický a sociální rozvoj v soukromém a veřejném sektoru
Zdrojový dokument
The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena : conference proceedings
Vydavatelská verze
http://pliki.konferencjazakopianska.pl/proceedings_2016/pdf/Jindrova_Papouskova.pdf
Přístup k e-verzi
open access
Název akce
The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (12.05.2016 - 13.05.2016)
ISBN
978-83-65173-47-8
Studijní obor
Studijní program
Signatura tištěné verze
Umístění tištěné verze
Přístup k tištěné verzi
Klíčová slova
Insured catastrophe losses, Excess over Threshold Method, Generalized Pareto Distribution., Pojištěné katastrofické škody, Metoda přes vysoký práh, zobecněné Pareto rozdělení.