On estimation of loss distributions and risk measures

MaRDI QIDQ2869074zbMATH OpenFDO

Authors Meelis Käärik, Anastassia Žegulova

Publication date 30 December 2013

Published in Acta et Commentationes Universitatis Tartuensis de Mathematica (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Recommendations

• scientific article; zbMATH DE number 3854261
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Generalized Pareto distribution fit to medical insurance claims data
• Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
• Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses

Cited in

(10)

• scientific article; zbMATH DE number 962269 (Why is no real title available?)
• Two maxentropic approaches to determine the probability density of compound risk losses
• Measuring distribution model risk
• Foundations of Risk Measurement. I. Risk As Probable Loss
• A statistical model of Chinese earthquake loss distribution
• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Non-parametric estimation of operational risk losses adjusted for under-reporting
• Analytical solutions for expected loss and standard deviation of loss with an additional loan
• scientific article; zbMATH DE number 3854261 (Why is no real title available?)
• scientific article; zbMATH DE number 6006824 (Why is no real title available?)

Describes a project that uses

Uses Software

• POT

This page was built for publication: On estimation of loss distributions and risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2869074)