GPD Model And Catastrophe Insurance

Extreme Value Theory has a wide range of applications in many fields. There are mainly two types of commonly used model: BMM model and GPD model. The second model is discussed in this paper which analyzes the nature of the generalized pareto distribution and describes the application of the model. The paper uses different methods to estimate parameters and various risk indicators, at the same time conduct a comparative analysis.Risks exist ever, everywhere. The occurrence of catastrophic risk to society causes huge losses. If we can adopt various methods and quantitative analysis of catastrophic risk model, it will bring great help to insurance and risk management. On the one hand, this paper attempts to carry out a try.The article is divided into four chapters. Chapter I is the background to this choice; Chapter II briefly introduces the nature of GPD and thickness of the end of the division; Chapter III gives estimation methods of the parameters of generalized pareto distribution and calculation methods of various tail risk indicators. It also raises new natures and applications of omega function. Chapter IV focuses on the application of GPD model in catastrophe insurance.