On univariate extreme value statistics and the estimation of reinsurance premiums

DOI10.1016/j.insmatheco.2005.11.002zbMath1168.62392MaRDI QIDQ2499825

Jan Beirlant, B. Vandewalle

Publication date: 14 August 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.002

zbMATH Keywords

heavy-tailed distributions; Wang's premium principle; excess-of-loss reinsurance rating

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

Related Items

Inference for intermediate Haezendonck-Goovaerts risk measure, Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses, Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts, Goodness-of-fit test for tail copulas modeled by elliptical copulas, Uniform limit theorems for functions of order statistics, Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions, Semi-parametric probability-weighted moments estimation revisited, Improved reduced-bias tail index and quantile estimators, Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions, Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study, Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology

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