A characterization of the generalized Pareto-distribution with an application to reinsurance

DOI10.1007/BF02808708zbMath0881.62016OpenAlexW62587538MaRDI QIDQ4367910

Erhard Kremer

Publication date: 2 December 1997

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

Full work available at URL: https://doi.org/10.1007/bf02808708

zbMATH Keywords

characterizationreinsurancegeneralized Pareto-model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (1)

Estimation of \(P[Y<X\) for generalized Pareto distribution]

Cites Work

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• On the probable maximum loss
• A generalized statistical XL-rating procedure
• More on the probable maximum loss
• Largest claims reinsurance premiums for the generalized Weibull model
• Effiziente berechnung der ruinwahrscheinlichkeit für den klassischen schadenexzedentenvertrag

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