[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Archive :: Search :: Submit :: Contact ::
Main Menu
Home::
Journal Information::
About the Journal
Editorial Board
Aims& Scopes
Journal News
Journal Statistics
Acceptance Statistics
Articles archive::
All Issues
Current Issue
Browse by Authors
Browse by Keywords
For Authors::
Call for Papers
Submission Instruction
Submission Form
For Reviewers::
Reviewers Section
Registration::
Registration Information
Registration Form
Ethics Considerations::
Plagiarism Policy
Author Change Policy
Ethics
Intellectual Property
Confidentiality of Information
Contact us::
Contact Information
Contact us
Site Facilities::
Site map
Search contents
FAQ
Top 10 contents
Inform to friends
::
Search in website

Advanced Search
..
Receive site information
Enter your Email in the following box to receive the site news and information.
..
Indexing and Abstracting



 
..
Social Media

..
Licenses
Creative Commons License
This Journal is licensed under a Creative Commons Attribution NonCommercial 4.0
International License
(CC BY-NC 4.0).
 
..
Similarity Check Systems


..
:: Volume 4, Issue 1 (9-2010) ::
JSS 2010, 4(1): 59-76 Back to browse issues page
The application of extreme value theory in value at risk estimation:The case of liability insurance claims in Iran insurance company
Ghadi Mahdavi , Zahra Majedi *
Abstract:   (21831 Views)
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.
Keywords: Value-at-risk, Extreme value theory, GARCH model, Historical simulation, Variance- Covariance
Full-Text [PDF 2123 kb]   (4516 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2011/11/28 | Accepted: 2011/11/29 | Published: 2020/02/18
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA

XML   Persian Abstract   Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
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. JSS 2010; 4 (1) :59-76
URL: http://jss.irstat.ir/article-1-87-en.html
Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 4, Issue 1 (9-2010) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

Persian site map - English site map - Created in 0.08 seconds with 45 queries by YEKTAWEB 4712