Modeling of claim exceedances over random thresholds for related insurance portfolios

DOI10.1016/J.INSMATHECO.2011.08.009MaRDI QIDQ654827zbMATH OpenOpenAlexFDO

Authors Omer L. Gebizlioglu, Fatih Tank, Serkan Eryilmaz

Publication date 21 December 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.08.009

zbMATH Keywords

renewal processcopulasorder statisticsexceedanceslargest claim size

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Modeling claim exceedances over thresholds.
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• On distributions of exceedances associated with order statistics and record values for arbitrary distributions
• On high level exceedance modeling and tail inference
• On the number of near-maximum insurance claim under dependence.
• Understanding Relationships Using Copulas
• Waiting times of exceedances in random threshold models

Cited in

(13)

• Exact and asymptotic distributions of exceedance statistics for bivariate random sequences
• Optimal precedence tests under single and double-sampling framework
• A flexible model for actuarial risks under dependence
• scientific article; zbMATH DE number 6347250 (Why is no real title available?)
• The difference between LSMC and replicating portfolio in insurance liability modeling
• Bivariate general random threshold models and exceedance statistics
• Exceedance statistics based on bottom-\(k\)-lists
• The long-term behavior of number of near-maximum insurance claims
• On some new dependence models derived from multivariate collective models in insurance applications
• Joint modelling of the total amount and the number of claims by conditionals
• Bivariate two sample test based on exceedance statistics
• Modeling claim exceedances over thresholds.
• An exceedance model based on bivariate order statistics

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