Extreme value estimation of the conditional risk premium in reinsurance
DOI10.1016/J.INSMATHECO.2020.10.010zbMATH Open1460.91223OpenAlexW3031302691MaRDI QIDQ2656989FDOQ2656989
Authors: Yuri Goegebeur, Armelle Guillou, Jing Qin 
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.10.010
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Cites Work
- Asymptotic Statistics
- Reinsurance
- Title not available (Why is that?)
- Statistics of Extremes
- Extreme value theory. An introduction.
- A simple general approach to inference about the tail of a distribution
- On univariate extreme value statistics and the estimation of reinsurance premiums
- On the estimation of the functional Weibull tail-coefficient
- Kernel estimators of extreme level curves
- On kernel smoothing for extremal quantile regression
- Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Functional kernel estimators of large conditional quantiles
- Kernel estimation of extreme regression risk measures
- Local robust estimation of the Pickands dependence function
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- Local Estimation of the Conditional Stable Tail Dependence Function
Cited In (5)
- Methoden der Extremwerttheorie zur Bestimmung eines Einzelschaden-Exzedenten im Krankenversicherungsbereich
- On univariate extreme value statistics and the estimation of reinsurance premiums
- Extreme value analysis of actuarial risks: estimation and model validation
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
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