✦ LIBER ✦

092012 (M10) A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate : Goovaerts M.J., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 95 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80636-1

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✦ Synopsis

Analytical Finance

The statistical estimation problem of (high) quantiles plays a fundamental role in both insurance and finance. For instance the pricing of Catastrophe Excess of Loss (CAT-XL) covers gives an example of the former, whereas the estimation of Value-at-Risk (VaR) in risk management corresponds to the latter. The standard methodology underlying quantile estimation is Extreme Value Theory (EVT). The main results from EVT will be reviewed and illustrated on various examples from insurance and finance.

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