Generalized Pareto distribution fit to medical insurance claims data

DOI10.1007/S11766-996-0018-ZMaRDI QIDQ2369367zbMATH OpenOpenAlexFDO

Authors Chi Xie, Zi-Sheng Ouyang

Publication date 9 May 2006

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-996-0018-z

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• Extreme Value Theory as a Risk Management Tool
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Statistical inference using extreme order statistics

Cited in

(11)

• Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
• On estimation of loss distributions and risk measures
• On classes of consistent tests for the Type I Pareto distribution based on a characterization involving order statistics
• Modeling insurance claims with extreme observations: transformed kernel density and generalized lambda distribution
• scientific article; zbMATH DE number 1979767 (Why is no real title available?)
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Univariate and bivariate GPD methods for predicting extreme wind storm losses
• Modeling severity and measuring tail risk of Norwegian fire claims
• Using fuzzy logic to interpret dependent risks
• Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims
• The full tails gamma distribution applied to model extreme values

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