On univariate extreme value statistics and the estimation of reinsurance premiums

DOI10.1016/j.insmatheco.2005.11.002zbMath1168.62392OpenAlexW2080864736MaRDI QIDQ2499825

B. Vandewalle, Jan Beirlant

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 distributionsWang's premium principleexcess-of-loss reinsurance rating

Mathematics Subject Classification ID

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

Related Items (23)

Extreme value analysis of actuarial risks: estimation and model validation ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Estimation of the distortion risk premium for heavy-tailed losses under serial dependence ⋮ Extreme value estimation of the conditional risk premium in reinsurance ⋮ On automatic bias reduction for extreme expectile estimation ⋮ Portfolio risk analysis of excess of loss reinsurance ⋮ Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions ⋮ Semi-parametric probability-weighted moments estimation revisited ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study ⋮ Improved reduced-bias tail index and quantile estimators ⋮ Tail expectile process and risk assessment ⋮ AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES ⋮ A simple generalisation of the Hill estimator ⋮ Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions ⋮ Goodness-of-fit test for tail copulas modeled by elliptical copulas ⋮ A new test for tail index with application to Danish fire loss data ⋮ Adaptive Reduced-Bias Tail Index and VaR Estimation via the Bootstrap Methodology ⋮ Uniform limit theorems for functions of order statistics ⋮ Market pricing of longevity-linked securities ⋮ Estimating the Probability of a Rare Event via Elliptical Copulas

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