On univariate extreme value statistics and the estimation of reinsurance premiums

DOI10.1016/j.insmatheco.2005.11.002zbMath1168.62392MaRDI QIDQ2499825

Jan Beirlant, B. Vandewalle

Publication date: 14 August 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.002

zbMATH Keywords

heavy-tailed distributions; Wang's premium principle; excess-of-loss reinsurance rating

Mathematics Subject Classification ID

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

62G32: Statistics of extreme values; tail inference

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