Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims

DOI10.1155/2021/5518583zbMath1471.62525arXiv2004.06150OpenAlexW3171290505MaRDI QIDQ2046686

R. Minkah, S. K.-B. Dzidzornu

Publication date: 26 August 2021

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.06150

zbMATH Keywords

insurance claimsgeneralised Pareto distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Uses Software

• R
• bootstrap

Cites Work

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• Discrete Burr and discrete Pareto distributions
• Statistical inference using extreme order statistics
• Estimating the dimension of a model
• Hazard functions and life distributions in discrete time
• Spatial modelling of claim frequency and claim size in non-life insurance
• Convergence theorems for a class of simulated annealing algorithms on ℝ^d
• Statistics of Extremes
• A new look at the statistical model identification

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