Modeling extreme mortality risk

• Authors: Majewska Justyna

Title variants

Modelowanie ekstremalnego ryzyka umieralności

• Languages of publication: EN

Abstracts

EN

The main aim of the paper is presentation some key aspects in modeling extreme mortality risk. We make a review and discuss measures of extreme mortality risk. Besides, we use approach proposed by J.M. Bravo et al. [2012], that is focused on using EVT to model the statistical behaviour of mortality rates over a given high threshold age. Insurers and reinsurers are interested in assessing the risk exposure to extreme mortality risk.

PL

Celem niniejszej pracy jest przedstawienie kluczowych aspektów w modelowaniu ekstremalnego ryzyka umieralności. Przedstawiamy dwa podejścia pomiaru ryzyka. Po pierwsze, dyskutujemy miary ryzyka ekstremalnego, które są wykorzystywane w pomiarze ryzyka umieralności. Po drugie, przedstawiamy podejście zaproponowane przez J.M. Bravo i innych [2012], polegające na wykorzystaniu EVT do modelowania umieralności powyżej pewnego wieku. Oceną ekstremalnego ryzyka umieralności są zainteresowani ubezpieczyciele i reasekuratorzy.

Keywords

EN

Extreme risk; Extreme value theory; Mortality

PL

Ekstremalne ryzyko; Teoria wartości ekstremalnych; Umieralność

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2016
• Volume: 288
• Pages: 33-46

Contributors

author

Majewska Justyna

• University of Economics in Katowice. Faculty of Informatics and Communication. Department of Demography and Economic Statistics

References

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Identifiers

ISSN

2083-8611