A generalized statistical XL-rating procedure

DOI10.1007/BF02808814zbMath0619.62100MaRDI QIDQ3756383

Erhard Kremer

Publication date: 1986

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

excess-of-loss covergeneralized Pareto modelgeneralized rating procedure

Mathematics Subject Classification ID

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

Related Items (6)

More on the probable maximum loss ⋮ A (new) nonparametric method for XL-rating ⋮ Effiziente berechnung der ruinwahrscheinlichkeit für den klassischen schadenexzedentenvertrag ⋮ A characterization of the generalized Pareto-distribution with an application to reinsurance ⋮ Limit-determination for the excess-of-loss treaty in case of simple retrocession ⋮ Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession

Cites Work

• Unnamed Item
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Finite formulae for the premium of the general reinsurance treaty based on ordered claims
• An asymptotic formula for the net premium of some reinsurance treaties
• The burning cost method and ratio estimation

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