Transformation kernel estimation of insurance claim cost distributions

zbMATH Open1380.62139MaRDI QIDQ4593689FDOQ4593689

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 (7)

• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• Kernel density estimation of actuarial loss functions
• Recovery of a quantile function from moments
• Fundamentals of Risk Measurement and Aggregation for Insurance Applications
• 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

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