Quasi-likelihood estimation of benchmark rates for excess of loss reinsurance programs

DOI10.2143/AST.39.2.2044642zbMATH Open1179.91112OpenAlexW2093718195MaRDI QIDQ3653503FDOQ3653503

Authors: Robert Verlaak, Werner Hürlimann, J. Beirlant 

Publication date: 22 December 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.2.2044642

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zbMATH Keywords

Pareto distributionquasi-likelihoodexcess-of-loss reinsuranceBurr distributionbenchmark rategeneralised (non-)linear modelsweighted Pearson residuals

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Linear mixed models for longitudinal data
• Title not available (Why is that?)
• Insurer's optimal reinsurance strategies
• A Universal Framework for Pricing Financial and Insurance Risks
• Title not available (Why is that?)

Cited In (2)

• A non-linear mixed model approach for excess of loss benchmark rating
• Fourier-analytic measures for heavy-tailed insurance losses

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