The Evaluation of Value at Risk for Automobile Physical Damage Insurance with Extreme Value Model

碩士論文[[abstract]]本研究將極端值模型應用於汽車車體險損失風險值評估，希望透過極端值理論找出汽車車體險損失分布，並估算其損失風險值。經由P-P Plot 及Q-Q Plot來檢定汽車車體險損失的風險值，我們同時比較了常態、對數常態、指數分配及t分配等四種分配函數。結果發現損失金額和上述的機率分配相比較並無法配適。因此，考慮極端值模型來進行風險值的估算是可行的。而應用一般化極端值模型(GEV)及一般化柏拉圖極端值模型（GPD）評估汽車車險損失金額的風險值，結果發現二模型在某些情況下相當接近。應用回溯測試檢定二模型的配適度，我們亦發現在不同的顯著水準下呈現迴異的結果。[[abstract]]This research apply the extreme value model to evaluate the VaR of automobile physical damage insurance and hope to find out the distribution in automobile physical damage insurance and estimate its VaR through the extreme value theory. We first check the VaR of the automobile physical damage insurance via P-P Plot and Q-Q Plot, we compare normal, log- normal, index and student t distribution to discover the amount of losing money and probability above were unable to mix rightly. So, it can be work to put this model into practice of estimating VaR. We further to use the GEV model and GPD model to assess the VaR for automobile physical damage insurance. Empirical results reveal that the two models are quite close in some cases. In last, we use the backtesting to examine the performance of the two models, we also obtain different outcomes under different significant levels