Extreme value estimation of the conditional risk premium in reinsurance
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Publication:2656989
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Cites work
- scientific article; zbMATH DE number 2163706 (Why is no real title available?)
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- On kernel smoothing for extremal quantile regression
- On the estimation of the functional Weibull tail-coefficient
- On univariate extreme value statistics and the estimation of reinsurance premiums
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- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Statistics of Extremes
Cited in
(10)- Premium rating without losses
- Conditional tail moment and reinsurance premium estimation under random right censoring
- On estimation of insurance risk parameters by combining local regression and distribution fitting ideas
- Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
- Statistical estimate of the proportional hazard premium of loss under random censoring
- Estimation of reinsurance PHT premium for \(AR(1)\) process with infinite variance
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- On univariate extreme value statistics and the estimation of reinsurance premiums
- Methoden der Extremwerttheorie zur Bestimmung eines Einzelschaden-Exzedenten im Krankenversicherungsbereich
- Extreme value analysis of actuarial risks: estimation and model validation
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