THE APPLICATION OF EXTREME VALUE THEORY IN VALUE AT RISK ESTIMATION: THE CASE OF LIABILITY INSURANCE CLAIMS IN IRAN INSURANCE COMPANY

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MAHDAVI G.; MAJEDI Z.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: JOURNAL OF STATISTICAL SCIENCES Year:2010 | Volume:4 | Issue:1 Page(s): 59-67

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Title

THE APPLICATION OF EXTREME VALUE THEORY IN VALUE AT RISK ESTIMATION: THE CASE OF LIABILITY INSURANCE CLAIMS IN IRAN INSURANCE COMPANY

Author(s)

MAHDAVI G. | MAJEDI Z. | Issue Writer Certificate

Keywords

VALUE-AT-RISKQ3

EXTREME VALUE THEORYQ3

GARCH MODELQ3

HISTORICAL SIMULATIONQ3

VARIANCE- COVARIANCEQ3

Abstract

The GARCH(1,1) and GARCH(1,1)-t models lead to highly volatile quantile forecasts, while HISTORICAL SIMULATION, Variance–Covariance, adaptive generalized Pareto distribution and non-adaptive generalized Pareto distribution models provide more stable quantile forecasts. In general, GARCH(1,1)-t, generalized Pareto distribution models and HISTORICAL SIMULATION are preferable for most quantiles.

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APA: Copy

MAHDAVI, G., & MAJEDI, Z.. (2010). THE APPLICATION OF EXTREME VALUE THEORY IN VALUE AT RISK ESTIMATION: THE CASE OF LIABILITY INSURANCE CLAIMS IN IRAN INSURANCE COMPANY. JOURNAL OF STATISTICAL SCIENCES, 4(1), 59-67. SID. https://sid.ir/paper/124112/en

Vancouver: Copy

MAHDAVI G., MAJEDI Z.. THE APPLICATION OF EXTREME VALUE THEORY IN VALUE AT RISK ESTIMATION: THE CASE OF LIABILITY INSURANCE CLAIMS IN IRAN INSURANCE COMPANY. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2010;4(1):59-67. Available from: https://sid.ir/paper/124112/en

IEEE: Copy

G. MAHDAVI, and Z. MAJEDI, “THE APPLICATION OF EXTREME VALUE THEORY IN VALUE AT RISK ESTIMATION: THE CASE OF LIABILITY INSURANCE CLAIMS IN IRAN INSURANCE COMPANY,” JOURNAL OF STATISTICAL SCIENCES, vol. 4, no. 1, pp. 59–67, 2010, [Online]. Available: https://sid.ir/paper/124112/en

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