Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk

Autor:	Ekaterina T. Kolkovska, Ehyter M. Martín-González, A. Murillo-Salas
Rok vydání:	2020
Předmět:	Statistics and Probability Reinsurance Data set 010104 statistics & probability Distribution (mathematics) General Mathematics 010102 general mathematics Statistical physics 0101 mathematics Extreme value theory 01 natural sciences Mathematics
Zdroj:	Methodology and Computing in Applied Probability. 23:753-766
ISSN:	1573-7713 1387-5841
DOI:	10.1007/s11009-020-09779-w
Popis:	We use the excess over a threshold method (see e.g. Embrechts et al. 1997) to approximate the tails of equilibrium distributions (integrated tail distributions) associated to distributions with regularly varying tail. We evaluate the performance of our approximations in some particular cases of distributions with regularly varying tails. Finally, we apply our results to the Danish reinsurance real data set.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::04a245d97f7f9c855ecc7bcbf38b7ec9 https://doi.org/10.1007/s11009-020-09779-w Zobrazit plný text záznamu Full text from SpringerLink