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

DOI10.2143/AST.39.2.2044642MaRDI QIDQ3653503zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 42097 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• A Universal Framework for Pricing Financial and Insurance Risks
• Insurer's optimal reinsurance strategies
• Linear mixed models for longitudinal data

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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