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Browsing Theses and Dissertations by Subject "Property insurance--United States"

Browsing Theses and Dissertations by Subject "Property insurance--United States"

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  • Abi Farraj, Nermeen (Notre Dame University-Louaize, 2021)
    Purpose – The purpose of this thesis is to assess if natural disasters impact the volatility of 19 property-liability insurers in the United States of America (USA) and 3 stock indices over a 10-year period using GARCH (1,1), IGARCH (1,1), EGARCH (1,1) and GJR-GARCH (1,1). Additionally, we implement the Value at Risk (VaR) and Extreme Value Theory (EVT) method to generate the worst loss over a target horizon that will not be exceeded with a given level of confidence. In this regard, this thesis will be a pioneer in examining the performance of capital markets in a context of unusually high ...

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