Course on Severity Modelling - Estatística e Gestão do Risco

Orador: José Luis Vilar-Zanón, Departamento de Economía Financiera y Actuarial. Universidad Complutense de Madrid. Facultad de Ciencias Económicas y Empresariales

 

Data: 21 março 2017 (3ª feira)

Hora: 10h00 às 13h00

Local: Lab. 2.5 - edifício VII, FCT NOVA

 

Data: 23 março 2017 (5ª feira)

Hora: 14h30 às 18h00

Local: Lab. 2.2 - edifício VII, FCT NOVA

 

 

Contents:

 

1. Two data ranges:

◦ Low or intermediate range

◦ Extreme or large claims range

 

2. Intermediate range modelling:

◦ empirical distribution (example in R)

◦ fitting (frequencies) parametric or semi parametric models: kernel density estimation (example in R)

◦ graphical tools: qq-plots (exponential, shifted exponential, weibull, normal, lognormal, examples in Maple and R)

 

3. Extremes range modelling:

◦ Generalized Extreme Value Distribution (GEVD) for max, Generalized Pareto distribution (GPD) for excesses, R package fExtremes

◦ Graphical techniques for threshold estimation: qqplot, mean excess, sample mean excess (Example in Maple), Hill plot

◦ Hill estimator for the GPD shape, MLE, Bayes estimation, Hill plot

◦ Examples