Transformation kernel estimation of insurance claim cost distributions

zbMATH Open1380.62139MaRDI QIDQ4593689FDOQ4593689

Authors: Catalina Bolancé, Montserrat Guillen, Jens Perch Nielsen 

Publication date: 22 November 2017

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zbMATH Keywords

extreme value theorynonparametric statisticsactuarial loss models

Mathematics Subject Classification ID

Density estimation (62G07) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (12)

• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• Champernowne transformation in kernel quantile estimation for heavy-tailed distributions
• Kernel density estimation of actuarial loss functions
• Modeling insurance claims with extreme observations: transformed kernel density and generalized lambda distribution
• Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
• Recovery of a quantile function from moments
• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
• Accuracy of transformed kernel density estimates for a heavy-tailed distribution
• Inverse beta transformation in kernel density estimation
• Kernel-type estimator of the reinsurance premium for heavy-tailed loss distributions
• Optimal inverse beta (3,3) transformation in kernel density estimation
• Fundamentals of risk measurement and aggregation for insurance applications

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