Reinsurance premium estimation for heavy-tailed claim amounts

DOI10.1214/23-BJPS588MaRDI QIDQ6128481zbMATH OpenFDO

Authors Qian Xiong, Zuoxiang Peng, Saralees Nadarajah

Publication date 15 April 2024

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

Gaussian approximationregular variationheavy taildistortion risk premium estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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