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Approximation of Aggregate Losses Using Simulation 

Mohamed, Mohamed; Razali, Ahmad; Ismail, Noriszura (Journal of Mathematics and Statistics, 2010)
Problem statement: The modeling of aggregate losses is one of the main objectives in actuarial theory and practice, especially in the process of making important business decisions regarding ...
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Own Damage, Third Party Property Damage Claims and Malaysian Motor Insurance: An Empirical Examination 

Mohamed, Mohamed; Ismail, Hamizun; Razali, Ahmad; Ismail, Noriszura; Ganiyat, Adesina (Australian Journal of Basic and Applied Sciences, 2011)
Risk is an indication of uncertainty about variability in the outcomes around some expected values. One can concludes that risk has its cost which depends on the level of uncertainty about the variability surrounding the ...
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A comparative study on value at risk and conditional value at risk with an application to the Malaysian financial market 

Mohamed, Mohamed; Ismail, Noriszura; Razali, Ahmad (African Journal of Business Management, 2012-03-14)
Value at risk (VaR) and conditional value at risk (CVaR) are frequently used as risk measures in risk management. VaR estimates the maximum expected loss over a given time period at a given acceptance level, whereas CVaR ...

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AuthorIsmail, Noriszura (3)Mohamed, Mohamed (3)
Razali, Ahmad (3)
Ganiyat, Adesina (1)Ismail, Hamizun (1)SubjectAggregate losses, compound Poisson-Pareto, simulation (1)Motor Insurance; Insurer; Own Damage; Third Party Property Damage. (1)Value at risk, conditional value at risk, RiskMetrics, peaks the over threshold, IGARCH, generalized Pareto (1)... View MoreDate Issued2010 (1)2011 (1)2012 (1)Has File(s)Yes (3)

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