Sökning: "Peaks-over-Threshold"

Visar resultat 1 - 5 av 22 uppsatser innehållade ordet Peaks-over-Threshold.

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. Into the Trading Book: Estimating Expected Shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Robin Eric Schmutz; Leonard Schneider; [2023]
   Nyckelord :Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

   Sammanfattning : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. LÄS MER

4. 3. 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

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. Extremvärdesanalys av havsvattennivån i Skanör

   Magister-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Viktor Karlberg; [2021]
   Nyckelord :Extreme Value Statistics; Extreme Value Theory; Extreme Value Analysis; Block Maxima; Peaks over Thresholds; Sea Water Level; Climate Statistics; Sea Level; Sea Level Rise; Climate Change; Mathematics and Statistics;

   Sammanfattning : In May 2020 the Land and Environment Court concluded that Vellinge municipality are granted the right to build a total of 21 kilometers of walls and embankments for protection against a rising sea water level. To analyse this problem an Extreme Value approach is applied to sea level data from the area. LÄS MER