Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method (Q2921624)
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scientific article; zbMATH DE number 6354774
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method |
scientific article; zbMATH DE number 6354774 |
Statements
13 October 2014
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distortion risk measures
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proportional hazard premium
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extreme values
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GPD function
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heavy tails
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POT method
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0.9430421
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0.87836456
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0.8714094
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0.8583507
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0.8528265
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0.8510673
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0.8433665
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Estimating of the proportional hazard premium for heavy-tailed claim amounts with the POT method (English)
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