POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
DOI10.32372/chjs.13-02-05zbMath1527.62080OpenAlexW4320028908MaRDI QIDQ6066381
Unnamed Author, Unnamed Author, Rassoul Abdelaziz
Publication date: 16 November 2023
Published in: Chilean Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.32372/chjs.13-02-05
heavy-tailed distributionrisk processruin probabilityextremes valuesPOT methodgeneralised Pareto distribution (GPD)
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
- Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
- On the estimation of the extreme-value index and large quantile estimation
- A moment estimator for the index of an extreme-value distribution
- Estimating tails of probability distributions
- Residual life time at great age
- Optimal choice of sample fraction in extreme-value estimation
- Ruin under interest force and subexponential claims: a simple treatment.
- Ruin probabilities in the mixed claim frequency risk models
- Estimating the mean of heavy-tailed distributions
- How to make a Hill plot.
- Ruin probability with claims modeled by a stationary ergodic stable process.
- Ruin estimates under interest force
- Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
- Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital
- Modeling loss data using composite models
- A Diagnostic for Selecting the Threshold in Extreme Value Analysis
- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
- Ruin probabilities in the presence of heavy-tails and interest rates
- Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
- On optimising the estimation of high quantiles of a probability distribution
- Statistics of Extremes
- A heuristic adaptive choice of the threshold for bias-corrected Hill estimators
- Regularly varying functions
This page was built for publication: POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
