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Statements

Subject Item
n2:RIV%2F00216275%3A25410%2F11%3A39892614%21RIV12-GA0-25410___
rdf:type
skos:Concept n14:Vysledek
dcterms:description
Article deals with quantile-based risk measures for insurance business. There are determined Value at risk (VaR) measures for exponential, lognormal and Pareto loss distributions in insurance practice. Paper also explains methods of determination of the conditional VaR and mean shortfall. These risk measures may be constructed in insurance business for the determination of economic capital or for the setting of insurance premium. Example of application presents computation of the above mentioned risk measures based real data from insurance company using statistical packages SAS and Statgraphics Centurion XV for loss variable that is difference between collective risk S and risk premium RP. Article deals with quantile-based risk measures for insurance business. There are determined Value at risk (VaR) measures for exponential, lognormal and Pareto loss distributions in insurance practice. Paper also explains methods of determination of the conditional VaR and mean shortfall. These risk measures may be constructed in insurance business for the determination of economic capital or for the setting of insurance premium. Example of application presents computation of the above mentioned risk measures based real data from insurance company using statistical packages SAS and Statgraphics Centurion XV for loss variable that is difference between collective risk S and risk premium RP.
dcterms:title
Determining the Value of Risk in Non-life Insurance Company Determining the Value of Risk in Non-life Insurance Company
skos:prefLabel
Determining the Value of Risk in Non-life Insurance Company Determining the Value of Risk in Non-life Insurance Company
skos:notation
RIV/00216275:25410/11:39892614!RIV12-GA0-25410___
n14:predkladatel
n15:orjk%3A25410
n3:aktivita
n6:P
n3:aktivity
P(GA402/09/1866)
n3:cisloPeriodika
182
n3:dodaniDat
n13:2012
n3:domaciTvurceVysledku
n4:7310323
n3:druhVysledku
n19:J
n3:duvernostUdaju
n10:S
n3:entitaPredkladatele
n12:predkladatel
n3:idSjednocenehoVysledku
193938
n3:idVysledku
RIV/00216275:25410/11:39892614
n3:jazykVysledku
n17:eng
n3:klicovaSlova
Monte Carlo simulation.; quantiles; mean shortfall; loss distribution; conditional tail expectation; Value at risk
n3:klicoveSlovo
n8:quantiles n8:Monte%20Carlo%20simulation. n8:conditional%20tail%20expectation n8:Value%20at%20risk n8:loss%20distribution n8:mean%20shortfall
n3:kodStatuVydavatele
PL - Polská republika
n3:kontrolniKodProRIV
[357EF6D20F91]
n3:nazevZdroje
Studia ubezpieczeniowe: Zarzadzanie ryzykiem i finansami
n3:obor
n9:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n11:GA402%2F09%2F1866
n3:rokUplatneniVysledku
n13:2011
n3:svazekPeriodika
8
n3:tvurceVysledku
Pacáková, Viera
s:issn
1689-7374
s:numberOfPages
9
n16:organizacniJednotka
25410