Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution

DOI10.1080/10920277.2008.10597507zbMath1481.91163OpenAlexW1966654724MaRDI QIDQ5022532

Chan Kee Low, Uditha Balasooriya

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597507

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (3)

A survey of a hurdle model for heavy-tailed data based on the generalized lambda distribution ⋮ Semi-parametric approach for approximating the ruin probability of classical risk models with large claims ⋮ Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach

Uses Software

• KernSmooth

Cites Work

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