Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims

DOI10.1080/10920277.2015.1062784zbMath1414.62415OpenAlexW757509025MaRDI QIDQ5379162

Andreas Kleefeld, Vytaras Brazauskas

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2015.1062784

zbMATH Keywords

tail riskfire claimsseverity moeling

Mathematics Subject Classification ID

Related Items (20)

A family of density-hazard distributions for insurance losses ⋮ Compound unimodal distributions for insurance losses ⋮ Odd Pareto families of distributions for modeling loss payment data ⋮ Dirichlet process mixture models for insurance loss data ⋮ Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions ⋮ A nonparametric sequential learning procedure for estimating the pure premium ⋮ Conformal Prediction Credibility Intervals ⋮ Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases? ⋮ Unnamed Item ⋮ Truncated, censored, and actuarial payment-type moments for robust fitting of a single-parameter Pareto distribution ⋮ Composite models with underlying folded distributions ⋮ ROBUST ESTIMATION OF LOSS MODELS FOR LOGNORMAL INSURANCE PAYMENT SEVERITY DATA ⋮ TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS ⋮ Focussed selection of the claim severity distribution ⋮ Extending composite loss models using a general framework of advanced computational tools ⋮ Empirical priors and posterior concentration rates for a monotone density ⋮ Gibbs posterior inference on value-at-risk ⋮ Weighted allocations, their concomitant-based estimators, and asymptotics ⋮ Valid Model-Free Prediction of Future Insurance Claims ⋮ Using Model Averaging to Determine Suitable Risk Measure Estimates

Uses Software

• QRM

Cites Work

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• “Empirical Estimation of Risk Measures and Related Quantities,” Bruce L. Jones and Ricǎrdas Zitikis, October 2003

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