Extreme value modelling of water-related insurance claims

DOI10.1214/17-AOAS1081zbMath1393.62047MaRDI QIDQ1647607

Jonathan A. Tawn, Arnoldo Frigessi, Christian Rohrbeck, Emma F. Eastoe

Publication date: 26 June 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1520564472

zbMATH Keywords

extremal dependence; insurance claims; spatio-temporal modelling; mixture modelling; extremal mixture; Poisson hurdle model

Mathematics Subject Classification ID

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

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables, A spatio-temporal model for Red Sea surface temperature anomalies, Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

Uses Software

• ismev

Cites Work

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