Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs

DOI10.2143/AST.39.2.2044642zbMath1179.91112OpenAlexW2093718195MaRDI QIDQ3653503

Werner Hürlimann, Jan Beirlant, Robert Verlaak

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.2.2044642

zbMATH Keywords

excess-of-loss reinsurancePareto distributionquasi-likelihoodBurr distributionbenchmark rategeneralised (non-)linear modelsweighted Pearson residuals

Mathematics Subject Classification ID

Related Items (2)

Fourier-analytic measures for heavy-tailed insurance losses ⋮ A non-linear mixed model approach for excess of loss benchmark rating

Cites Work

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• Insurer's optimal reinsurance strategies
• A Universal Framework for Pricing Financial and Insurance Risks
• Linear mixed models for longitudinal data

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