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Project

HSTRT/14/001 - Extreme value methods for the insurance and the financial sector.

The restart project is situated in the statistical analysis of extreme values, in which one studies the probabilities of extreme events that are rare but which entail large consequences. Also one studies quantities linked to the consequences of these events such as insurance premiums which should cover the corresponding claims. The financial and the insurance sector are important fields of applications. Some examples are: - as a consequence of the new solvency requirements, the study of risk measures received renewed attention, such as the Value at Risk which is in fact an extreme quantile of negative returns. - in non-life insurance reinsurers take over extreme risks X over a large retention level R. The these events have to be studied, as well as the premium coverage for such reinsurance quantities. - in the financial sector financial derivatives are very sensitive to large changes in the prices of the underlying assets.
Date:1 Oct 2014 →  30 Sep 2018
Keywords:Statistics, Extreme value analysis, Insurance, Reinsurance, Finance, Risk measures
Disciplines:Analysis, Applied mathematics in specific fields, General mathematics, History and foundations, Other mathematical sciences and statistics