Fitting a parametric distribution for large claims in case of censored or partitioned data

DOI10.1016/0167-6687(93)90825-AMaRDI QIDQ689580zbMATH OpenOpenAlexFDO

Authors Michael Weba

Publication date 19 January 1994

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

Full work available at URL https://doi.org/10.1016/0167-6687(93)90825-a

zbMATH Keywords

asymptotic normalitycensored datacomplete convergenceHill's estimatorextreme value distributionsempirical quantilesextended Pareto distributionsextended Weibull distributionsheavy-tailed claim distributionslarge claim distributionsparametric family of claim distributionsRBNS claims

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 4111797 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• Modeling large claims in non-life insurance
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Parameter and Quantile Estimation for the Generalized Pareto Distribution

Cited in

(5)

• Statistical inference based on large claims via poisson approximation. Part II: Poisson process approach
• Mixtures of tails in clustered automobile collision claims
• Estimating catastrophic quantile levels for heavy-tailed distributions
• Combined tail estimation using censored data and expert information
• A simple method to estimate parametric claim size distributions from grouped data

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