Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database

DOI10.1080/10920277.2003.10596098zbMath1084.62108OpenAlexW1977349712MaRDI QIDQ5715917

Philippe Lambert, Ana C. Cebrián, Michel M. Denuit

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596098

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

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Cites Work

• Extremes and related properties of random sequences and processes
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Residual life time at great age
• Statistical inference using extreme order statistics
• Extreme Value Theory as a Risk Management Tool
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