Modeling large claims in non-life insurance

DOI10.1016/0167-6687(92)90085-PzbMath0753.62074OpenAlexW2057956157MaRDI QIDQ1199961

Jozef L. Teugels, Jan Beirlant

Publication date: 17 January 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90085-p

zbMATH Keywords

outliersdiagnosticsreinsurancelarge claimsnon-life insurancetotal claim amountclaim amountdistributional modelsruin probabilites

Mathematics Subject Classification ID

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

Related Items (17)

Extreme value statistics and wind storm losses: A case study ⋮ On the estimation of the functional Weibull tail-coefficient ⋮ A Hill Type Estimator of the Weibull Tail-Coefficient ⋮ Assessment of dependent risk using extreme value theory in a time-varying framework ⋮ The mean residual life function at great age: Applications to tail estimation ⋮ Modelling of extremal events in insurance and finance ⋮ Estimating a tail of the mixture of log-normal and inverse Gaussian distribution ⋮ Extremal linear quantile regression with Weibull-type tails ⋮ Modeling Catastrophes and their Impact on Insurance Portfolios ⋮ Estimation of the Weibull tail-coefficient with linear combination of upper order statistics ⋮ Fitting a parametric distribution for large claims in case of censored or partitioned data ⋮ Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution ⋮ On the usefulness of the logarithmic skew normal distribution for describing claims size data ⋮ Weibull tail-distributions revisited: A new look at some tail estimators ⋮ Estimating Extreme Quantiles of Weibull Tail Distributions ⋮ Mixtures of tails in clustered automobile collision claims ⋮ Estimation of distribution tails —a semiparametric approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bounds for classical ruin probabilities
• On the estimation of the extreme-value index and large quantile estimation
• A moment estimator for the index of an extreme-value distribution
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Second order behaviour of the tail of a subordinated probability distribution
• Estimating tails of probability distributions
• Ruin estimates for large claims
• Testing the goodness of fit of a mixed Poisson process
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• The class of subexponential distributions
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Theory prob. appl.
• The Asymptotic Behavior of Hill’s Estimator
• Zur statistischen analyse des gemischten Poissonprozesses, gestützt auf Schadeneintrittszeitpunkte
• Limit distributions for compounded sums of extreme order statistics
• Breaking Records and Breaking Boards
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Correction

This page was built for publication: Modeling large claims in non-life insurance