KTH Matematik |

Seminarierummet 3721, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
First a comprehensive data analysis was made which suggested that the observations belonged to a heavy tailed distribution. An evaluation of commonly used distributions was performed. The evaluation resulted in the choice of a compound Poisson distribution to model frequency and a piecewise defined distribution with an empirical body and a generalized Pareto tail to model severity. The frequency distribution and the severity distribution define the loss distribution from which Monte Carlo simulations were made in order to estimate the 99.9% quantile, also known as the the regulatory capital. |

Sidansvarig: Filip Lindskog Uppdaterad: 25/02-2009 |