Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
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Publication:5715917
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Cites work
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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Extreme Value Theory as a Risk Management Tool
- Extremes and related properties of random sequences and processes
- Residual life time at great age
- Statistical inference using extreme order statistics
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(34)- Modelling extreme claims via composite models and threshold selection methods
- Fitting and validation of a bivariate model for large claims
- Liquidation risk for exponential spectrally negative Lévy processes
- Non-life rate-making with Bayesian GAMs
- An application of extreme value theory in automobile insurance: a new approach to the convex combination of two variables thresholds minimizing the variance of this combination
- Modeling claims data with composite Stoppa models
- Severity modeling of extreme insurance claims for tariffication
- A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution
- Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
- Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
- Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution
- On estimation of loss distributions and risk measures
- On a strategy to develop robust and simple tariffs from motor vehicle insurance data
- Modeling large claims in non-life insurance
- Modeling insurance claims with extreme observations: transformed kernel density and generalized lambda distribution
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Maximum Tsallis entropy with generalized Gini and Gini mean difference indices constraints
- Univariate and bivariate GPD methods for predicting extreme wind storm losses
- Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Tsallis distribution as a standard maximum entropy solution with `tail' constraint
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- scientific article; zbMATH DE number 3878209 (Why is no real title available?)
- On some entropy functionals derived from Rényi information divergence
- Modeling severity and measuring tail risk of Norwegian fire claims
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- A Bayesian analysis of clusters of extreme losses
- Statistical estimate of the proportional hazard premium of loss
- Generalized Pareto distribution fit to medical insurance claims data
- 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
- Statistical inference based on large claims via poisson approximation. Part I: Poisson random variables
- The full tails gamma distribution applied to model extreme values
- Fourier-analytic measures for heavy-tailed insurance losses
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