Αναλογιστικοί δείκτες μέτρησης της δεξιάς ουράς κατανομών απώλειας για καταστροφικούς κινδύνους

Χαμηλού, Μαρίνα

Actuarial indices of measuring the right tail of loss distributions for catastrophic risks

Master Thesis

Author

Χαμηλού, Μαρίνα

Date

2021-11

Abstract

Most of the problems that one has to solve today are solved by mathematical modeling. From insurance problems to risk calculation and related data, risk theory provides a substantial mathematical basis. Actuarial science often presents very high insurance risks, where well-known risk measures, such as the standard deviation or the Gini mean, are unacceptable measures in measuring the right-hand side of risks. For this reason, Wang (1998) proposed an actuarial index based on the proportional risk model. This thesis is a study of the performance of the Wang index, as well as other indicators for heavy-duty distributions. In addition, examples will be given to verify the theoretical results. More specifically, numerical examples will be conducted in known distributions comparing right-tail risk indices such as Wang (1998), Wei & Yatracos (2004) and the well-known Gini index.

Postgraduate Studies Programme

Αναλογιστική Επιστήμη και Διοικητική Κινδύνου

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/13936
http://dx.doi.org/10.26267/unipi_dione/1359

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα