Kwantyfikacja ryzyka wypłat katastroficznych dla zdarzeń ubezpieczeniowych z wykorzystaniem teorii wartości ekstremalnych
The quantification of risk of payments in the field of catastrophic insurance events using Extreme Value Theory

Summary/Abstract: In the paper the authors apply Extreme Value Theory in the field of extremely high values of claims paid out by insurance companies conducting motor third party liability insurance. Extremely high indemnities and compensations were identified using Block Maxima and Excesses Over Threshold methods. The value of payments is modelled using Generalized Extreme Value and Generalized Pareto distributions. The empirical part of the work presents the study on claims data held by Information Centre of Insurance Guaran-tee Fund. The results of analysis can be applied in pricing models used by insurance and reinsurance undertakings as well can be used in the activities of the financial supervisory authority in relation to setting standards for the proper assessment of risk faced by entities of insurance market.

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