Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach

DOI10.1016/j.insmatheco.2012.07.008zbMath1285.91061OpenAlexW2027932552MaRDI QIDQ2447408

Yanyan Li

Publication date: 25 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.008

zbMATH Keywords

extreme value theorythreshold modelinsurance claims modelingmixture component testingmixture exponential distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Related Items

Large deviations for risk measures in finite mixture models ⋮ FITTING MIXTURES OF ERLANGS TO CENSORED AND TRUNCATED DATA USING THE EM ALGORITHM ⋮ Estimating a tail of the mixture of log-normal and inverse Gaussian distribution ⋮ Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions ⋮ Soft splicing model: bridging the gap between composite model and finite mixture model ⋮ Extreme values identification in regression using a peaks-over-threshold approach ⋮ A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting ⋮ Severity modeling of extreme insurance claims for tariffication ⋮ The uncertain premium principle based on the distortion function ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

Uses Software

• ismev

Cites Work

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• Statistical Models
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• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• An introduction to statistical modeling of extreme values