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Abstract Details
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Activity Number:
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509
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Type:
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Contributed
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Date/Time:
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Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #302329 |
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Title:
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Estimation of Catastrophic Losses and Tail Distributions Through Some Extreme Value Distributions
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Author(s):
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Fan Yang*+ and Sneh Gulati and B. M. Golam Kibria
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Companies:
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Florida International University and Florida International University and Florida International University
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Address:
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, , FL, 33199,
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Keywords:
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EVT ;
heavy tailed distributions ;
catastrophe losses ;
TVaR ;
PML ;
VaR
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Abstract:
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This paper reviewed various heavy tailed distributions and Extreme Value Theory (EVT) to estimate the catastrophe losses simulated from Florida Public Hurricane Loss Projection Model (FPHLPM). We have compared risk measures such as Probable Maximum Loss (PML) and Tail Value at Risk (TVaR) of the selected distributions with empirical estimation to capture the characteristics of the loss data as well as its tail distribution. Key words: heavy tailed distributions, EVT, catastrophe losses, PML, TVaR
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