Applying of the extreme value theory for determining extreme claims in the automobile insurance sector: case of a China car insurance

MaRDI QIDQ2138265zbMATH OpenFDO

Authors Daouda Diawara, Ladji Kane, Soumaila Dembele, Gane Samb Lo

Publication date 11 May 2022

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.10194, https://projecteuclid.org/journals/afrika-statistika/volume-16/issue-3/Applying-of-the-Extreme-Value-Theory-for-determining-extreme-claims/10.16929/as/2021.2883.188.full

zbMATH Keywords

POTthresholdextreme value theoryChina car insurance

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: According to the Chinese Health Statistics Yearbook, in 2005, the number of traffic accidents was 187781 with total direct property losses of 103691.7 (10000 Yuan). This research aims to fill the gap in the literature by investigating the extreme claim sizes not only for the entire portfolio. This empirical study investigates the behavior of the upper tail of the claim size by class of policyholders.

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• Applying of the extreme value theory for determining extreme claims in the automobile insurance sector: case of a China car insurance

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