Reinsurance premium estimation for heavy-tailed claim amounts

DOI10.1214/23-BJPS588MaRDI QIDQ6128481FDOQ6128481

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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