AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES

DOI10.1017/asb.2018.10zbMath1416.91151OpenAlexW2810321430MaRDI QIDQ4691251

Roman Muraviev

Publication date: 19 October 2018

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

Full work available at URL: https://doi.org/10.1017/asb.2018.10

zbMATH Keywords

extreme-value theoryreinsuranceinsurance-linked securitiesloss exceedance probability curve

Mathematics Subject Classification ID

Related Items (1)

CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

Uses Software

• QRM

Cites Work

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• Residual life time at great age
• Statistical inference using extreme order statistics
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Extreme value statistics and wind storm losses: A case study
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On A Surplus Process Under A Periodic Environment

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