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.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςCorporate Department
Αναλογιστικής Επιστήμης & Διαχείρισης ΚινδύνωνNumber of pages
84Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα