Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database

DOI10.1080/10920277.2003.10596098zbMATH Open1084.62108OpenAlexW1977349712MaRDI QIDQ5715917FDOQ5715917

Michel Denuit, Philippe Lambert, Ana C. Cebrián

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596098

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Cites Work

Extremes and related properties of random sequences and processes
Statistical inference using extreme order statistics
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Residual life time at great age
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Extreme Value Theory as a Risk Management Tool
Estimates for the probability of ruin with special emphasis on the possibility of large claims

Cited In (25)

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Statistical inference based on large claims via poisson approximation. Part I: Poisson random variables
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Fitting and validation of a bivariate model for large claims
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Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model
Generalized Pareto distribution fit to medical insurance claims data
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
On some entropy functionals derived from Rényi information divergence
Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
Extreme value analysis of actuarial risks: estimation and model validation
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On a strategy to develop robust and simple tariffs from motor vehicle insurance data
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Fourier-analytic measures for heavy-tailed insurance losses
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EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION

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