Modeling of claim exceedances over random thresholds for related insurance portfolios
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Publication:654827
DOI10.1016/J.INSMATHECO.2011.08.009zbMath1228.91034OpenAlexW2064614891MaRDI QIDQ654827
Omer L. Gebizlioglu, Fatih Tank, Serkan N. Eryılmaz
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
Related Items (5)
An exceedance model based on bivariate order statistics ⋮ Exact and asymptotic distributions of exceedance statistics for bivariate random sequences ⋮ Bivariate two sample test based on exceedance statistics ⋮ The long-term behavior of number of near-maximum insurance claims ⋮ Unnamed Item
Cites Work
- Waiting times of exceedances in random threshold models
- Distributional properties of exceedance statistics
- Exceedances over high thresholds: a guide to threshold selection
- Modeling claim exceedances over thresholds.
- On the number of near-maximum insurance claim under dependence.
- On high level exceedance modeling and tail inference
- Exchangeable claim sizes in a compound Poisson-type process
- On Distributions of Exceedances Based on Generalized Order Statistics
- Markov chain models for threshold exceedances
- Understanding Relationships Using Copulas
- On distributions of exceedances associated with order statistics and record values for arbitrary distributions
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