Heavy-tailed modelling in insurance

DOI10.1080/15326349708807452zbMath0916.62073OpenAlexW2010218883MaRDI QIDQ4371856

Thomas Mikosch

Publication date: 8 February 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349708807452

zbMATH Keywords

heavy tailsruin probabilitylarge claimstotal claim amountinsurance future

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (7)

Subexponential potential asymptotics with applications ⋮ Markovian risk process ⋮ Robustness of power-law behavior in cascading line failure models ⋮ Extreme-value analysis of teletraffic data ⋮ Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution ⋮ On tail index estimation based on multivariate data ⋮ Premium Calculation for Fat-tailed Risk

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