Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
DOI10.1080/03461238.2014.910833zbMath1401.91164arXiv1310.8604OpenAlexW2244630271MaRDI QIDQ4576961
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.8604
Poisson point processesextreme value theorypricingreinsurancegeneralized Pareto distributionsolvencycatastrophe riskaccidental deathslife and accident insurance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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