Sökning: "Generalized Extreme Value Distribution"

Visar resultat 1 - 5 av 29 uppsatser innehållade orden Generalized Extreme Value Distribution.

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

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ormia Abdullah Mohamad; Anna Westin; [2023]
    Nyckelord :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.;

    Sammanfattning : 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. LÄS MER

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

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Eric Jakobsson; Thor Åhlgren; [2022]
    Nyckelord :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;

    Sammanfattning : 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. LÄS MER

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

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Heidi Mach; [2022]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : 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. LÄS MER

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

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

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

    Sammanfattning : 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. LÄS MER

  7. 5. Statistik över svenska blixtströmmar : Analys av data från SMHI:s blixtlokaliseringssystem

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Elektricitetslära

    Författare :Rebecca Persson; [2021]
    Nyckelord :blixt; blixtlokaliseringssystem; strömfördelning; åskstatistik; SMHI; Svenska kraftnät; åskskydd;

    Sammanfattning : Lightning constitutes a serious threat to the electrical grid. If not protected against, lightning can cause comprehensive damage, harm to humans and lead to disruption in the electricity supply. Modeling of lightning protection is hence an important part of operating the grid. LÄS MER