Modeling of claim exceedances over random thresholds for related insurance portfolios

DOI10.1016/J.INSMATHECO.2011.08.009zbMath1228.91034OpenAlexW2064614891MaRDI QIDQ654827

Omer L. Gebizlioglu, Fatih Tank, Serkan N. Eryılmaz

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.009

zbMATH Keywords

order statisticscopulasrenewal processexceedanceslargest claim size

Mathematics Subject Classification ID

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

Related Items (5)

An exceedance model based on bivariate order statistics ⋮ Exact and asymptotic distributions of exceedance statistics for bivariate random sequences ⋮ Bivariate two sample test based on exceedance statistics ⋮ The long-term behavior of number of near-maximum insurance claims ⋮ Unnamed Item

Cites Work

• Waiting times of exceedances in random threshold models
• Distributional properties of exceedance statistics
• Exceedances over high thresholds: a guide to threshold selection
• Modeling claim exceedances over thresholds.
• On the number of near-maximum insurance claim under dependence.
• On high level exceedance modeling and tail inference
• Exchangeable claim sizes in a compound Poisson-type process
• On Distributions of Exceedances Based on Generalized Order Statistics
• Markov chain models for threshold exceedances
• Understanding Relationships Using Copulas
• On distributions of exceedances associated with order statistics and record values for arbitrary distributions
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