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Investigating the threshold of event detection with application to earthquake and operational risk theory
Dissertation (MSc (Actuarial Sciences))--University of Pretoria, 2013.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2021
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| _version_ | 1867613472259309568 |
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| access_status_str | Open Access |
| author2 | Kijko, Andrzej |
| author_browse | Kijko, Andrzej |
| author_facet | Kijko, Andrzej |
| collection | Thesis |
| dc_rights_str_mv | © 2020 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Actuarial Sciences))--University of Pretoria, 2013. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/79227 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:41.285Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/79227 Investigating the threshold of event detection with application to earthquake and operational risk theory Kijko, Andrzej cjdw@imiginet.co.za Beyers, Frederik Johannes Conradie De Witt, Corn e Juan UCTD Dissertation (MSc (Actuarial Sciences))--University of Pretoria, 2013. This study provides systematic analysis of points of structural change in probability distributions. In observed frequency data of earthquakes, such a threshold exists due to the non-detection of events below a certain magnitude. By examining the factors in uencing the operational risk exposure of institutions, a similar threshold is hypothesized to exist in operational loss data. In both elds of study, this threshold is termed the threshold of completeness, above which 100% of events are de- tected. External factors have caused this level of completeness to shift over time for earthquake data. The level of complete recording in uences the volume of data that can be consistently incorporated in a study of seismic activity. Such data can be used by re-insurers and direct writers of catastrophe agreements who deal in seismic hazard. Historically, a variety of methods have been proposed by authors in an attempt to gauge the location of the threshold of completeness in earthquake data. This study aims to evaluate the e cacy of some of the most prominent methods under di ering assumptions regarding the incomplete portion of the data. Furthermore, a new threshold estimation scheme (MITC) is developed and tested against the prevailing methods. Additionally, earthquake data and the wealth of literature will aid in introductory analysis and assessing applicability of esti- mation techniques in the context of operational losses. Insurance and Actuarial Science MSc (Actuarial Sciences) Unrestricted 2021-04-06T07:22:18Z 2021-04-06T07:22:18Z 2014/02/12 2013 Dissertation De Witt, CEJ 2013, Investigating the threshold of event detection with application to earthquake and operational risk theory, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/79227> E14/4/546 http://hdl.handle.net/2263/79227 en © 2020 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title | Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title_full | Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title_fullStr | Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title_full_unstemmed | Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title_short | Investigating the threshold of event detection with application to earthquake and operational risk theory |
| title_sort | investigating the threshold of event detection with application to earthquake and operational risk theory |
| topic | UCTD |
| url | http://hdl.handle.net/2263/79227 |