Αξία σε κίνδυνο (VaR) : εκτίμηση & εφαρμογές στην θεωρία συλλογικού κινδύνου
Value At Risk : estimation & applications in collective risk theory
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Value at RiskAbstract
Value at Risk (VaR) is one of the most widely used measures for valuing the risk associated with a portfolio in the insurance and finance industry. This paper will provide an overview of the meaning of risk, the various methods used to estimate VaR, and a comparison with other risk measures. The objective of risk management is to achieve maximum profitability, exploiting every possible benefit, and minimizing every possibility of making a loss with the smallest possible loss. The use of VaR as a quantitative risk assessment tool in the collective risk model will also be studied. VaR calculations will be demonstrated with the use of examples, involving both analytical and simulation methods.