Fitting and validation of a bivariate model for large claims

DOI10.1016/j.insmatheco.2007.07.001zbMath1152.91578OpenAlexW2092513005MaRDI QIDQ998278

Holger Drees, Peter Mueller

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.001

zbMATH Keywords

asymptotic normalityextreme value theorymodel validationbivariate tail estimationdependent catastrophic risks

Mathematics Subject Classification ID

Related Items (7)

Extreme value analysis of actuarial risks: estimation and model validation ⋮ Fitting the Erlang mixture model to data via a GEM-CMM algorithm ⋮ New composite models for the Danish fire insurance data ⋮ Statistical inference on a changing extreme value dependence structure ⋮ Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models ⋮ Estimating failure probabilities ⋮ Unnamed Item

Cites Work

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• A general class of estimators of the extreme value index
• Bivariate tail estimation: dependence in asymptotic independence
• How to make a Hill plot.
• Concomitant tail behaviour for extremes
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Dependence measures for extreme value analyses

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