Value at Risk Estimation using the Kappa Distribution with Application to Insurance Data
Publish Year: 1398
نوع سند: مقاله ژورنالی
زبان: English
View: 182
This Paper With 10 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_IJFMA-4-14_007
تاریخ نمایه سازی: 13 آذر 1400
Abstract:
The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the important criteria for financial institution risk management. The maximum likelihood, moment, percentiles and maximum product of spacing methods are considered to estimate the unknown parameters. The data of the insurance stock prices is analyzed for comparing the proposed methods in VaR evaluation. An important implication of the present study is that the Kappa distribution can be considered as a loss distribution for the VaR estimation. Also, it is observed that the maximum likelihood estimator, in contrast to other estimators, provides smallest VaR in the proposed stock prices data.
Keywords:
Insurance Stock Price , Kappa distribution , Maximum Product of Spacing , Percentile Estimator , Value at risk
Authors
Hanieh Panahi
Department of Mathematics and Statistics, Lahijan branch, Islamic Azad University, Lahijan, Iran
مراجع و منابع این Paper:
لیست زیر مراجع و منابع استفاده شده در این Paper را نمایش می دهد. این مراجع به صورت کاملا ماشینی و بر اساس هوش مصنوعی استخراج شده اند و لذا ممکن است دارای اشکالاتی باشند که به مرور زمان دقت استخراج این محتوا افزایش می یابد. مراجعی که مقالات مربوط به آنها در سیویلیکا نمایه شده و پیدا شده اند، به خود Paper لینک شده اند :