Sökning: "POT-model"

Hittade 2 uppsatser innehållade ordet POT-model.

  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. Evaluation and Analysis of Value at Risk Methodologies for Exchange Rate Risk in the Euro Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yu Shao; Haibo Yan; [2012]
    Nyckelord :Value at Risk; volatility clustering; exchange rate; volatility weighted historical simulation; normal distribution; student t-distribution; extreme value theory; Business and Economics;

    Sammanfattning : The deteriorating European economic situation has suggested the necessity of risk management in the exchange rate of EUR for governments and corporations, but there is few researches studying in this field. In this thesis, by choosing USD/EUR, JPY/EUR and GBP/EUR as subjects, with a focus on the availability of different methods to the estimation of exchange rate risk of EUR, we aim to calculate the VaR of those three kinds of exchange rates and try to find the most accurate model to measure exchange rate risk in different environments and periods. LÄS MER