Prediction intervals for future Pareto record claims
The study focuses on statistical prediction of extreme claims or losses in insurance industry. The core of the paper is the statistical modeling and prediction of extreme claims in non-life insurance. After introducing the model of record statistics, the use of a Pareto distribution model for upper record values is demonstrated as appropriate for predicting future record claims or losses based on previously observed record values in a sequence of claims across time. The results are applied to real data sets, as the Danish insurance data set, the data set from the research study `sigma-1/2021' by the Swiss Re Institute, and the data from an international non-life reinsurer on its worldwide reinsured catastrophe losses. The examples demonstrate how the proposed models perform and can capture the magnitude of future record claims, even with relatively small numbers of record observations.
- A method for constructing and interpreting some weighted premium principles
- Bayesian estimation and prediction for some life distributions based on record values
- Combined tail estimation using censored data and expert information
- Comparison of likelihood-based predictors of future Pareto and Lomax record values in terms of Pitman closeness
- scientific article; zbMATH DE number 3527576 (Why is no real title available?)
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- scientific article; zbMATH DE number 750197 (Why is no real title available?)
- scientific article; zbMATH DE number 3074531 (Why is no real title available?)
- Interval estimation for the two-parameter Pareto distribution based on record values
- Maximum observed likelihood prediction of future record values
- Maximum product of spacings prediction of future record values
- Modeling large claims in non-life insurance
- Modeling severity and measuring tail risk of Norwegian fire claims
- On statistical inference based on record values
- Prediction intervals for the future record values from exponential distribution: comparative study
- Prediction of k-records from a general class of distributions under balanced type loss functions
- Prediction of record values
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- Statistical inference based on record data from Pareto model
- Statistics of Extremes
- TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
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