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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Risk aggregation allowing for skewness
 Šimonová, Soňa ; Mazurová, Lucie (advisor) ; Zichová, Jitka (referee)
The main objective of this thesis is to examine different methods of calcula- tion of economic capital for an insurance company which allow for skewness. For calculating the economic capital we use two alternative risk measures- Value at Risk (VaR) and Conditional Value at Risk (CVaR). The first part of the thesis is concerned with deriving exact formulae for VaR and CVaR for normally distribu- ted losses and describing the modification of these formulae using Cornish-Fisher approximation. Next, the method using lognormal model with a parameter cap- turing skewness is discussed. The parameter is used for deriving a formula for skewness of a sum of losses. The approximation of the sum is thus obtained and is used for deriving formulae for VaR and CVaR for aggregated losses. Finally, the methods are compared numerically using R software. 1
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Alternative risk measures and their applications
 Drobuliak, Matúš ; Hurt, Jan (advisor) ; Večeř, Jan (referee)
Title: Alternative risk measures and their applications Author: Matúš Drobuliak Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathe- matical Statistics Abstract: The objective of this thesis is to discuss alternative measures of risk. We focused on the expectile value at risk, which we compared with conventional risk measures - namely value at risk and conditional value at risk. We also discussed its properties from the financial point of view. A numerical illustration is included in the thesis. Keywords: Value at risk, Conditional value at risk, Quantile, Expectile, Expectile value at risk iii
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