Sökning: "generalized extreme value method"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden generalized extreme value method.

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. 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

5. 4. Modelling the Resilience of Offshore Renewable Energy System Using Non-constant Failure Rates

   Master-uppsats, Uppsala universitet/Institutionen för elektroteknik

   Författare :Mussie Abraham Beyene; [2021]
   Nyckelord :offshore renewable energy; resilience; wave energy farm; vulnerability; characterization; weather climates; failure rate; wind energy farm; generalized extreme value method; significant wave height; wind speed;

   Sammanfattning : Offshore renewable energy systems, such as Wave Energy Converters or an Offshore Wind Turbine, must be designed to withstand extremes of the weather environment. For this, it is crucial both to have a good understanding of the wave and wind climate at the intended offshore site, and of the system reaction and possible failures to different weather scenarios. LÄS MER

7. 5. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

   Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Evelyn Dela Gbadago; [2021]
   Nyckelord :Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

   Sammanfattning : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. LÄS MER