Extreme value estimation of the conditional risk premium in reinsurance
| Autor: | Yuri Goegebeur, Armelle Guillou, Jing Qin |
|---|---|
| Přispěvatelé: | Department of Mathematics and Computer Science [Odense] (IMADA), University of Southern Denmark (SDU), Institut de Recherche Mathématique Avancée (IRMA), Université de Strasbourg (UNISTRA)-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Conditional risk Reinsurance Normalization (statistics) Risk Economics and Econometrics Automobile insurance Risk premium reinsurance premium Mathematics::Optimization and Control tail index 01 natural sciences 010104 statistics & probability [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 0502 economics and business Covariate Econometrics 0101 mathematics Extreme value theory 050205 econometrics Mathematics risk 05 social sciences Estimator Reinsurance premium Statistics Probability and Uncertainty Pareto-type distribution Nonparametric estimation Tail index |
| Zdroj: | Insurance: Mathematics and Economics Insurance: Mathematics and Economics, Elsevier, 2021, 96, pp.68-80. ⟨10.1016/j.insmatheco.2020.10.010⟩ Goegebeur, Y, Guillou, A & Qin, J 2021, ' Extreme value estimation of the conditional risk premium in reinsurance ', Insurance: Mathematics and Economics, vol. 96, pp. 68-80 . https://doi.org/10.1016/j.insmatheco.2020.10.010 |
| ISSN: | 0167-6687 |
| DOI: | 10.1016/j.insmatheco.2020.10.010⟩ |
| Popis: | International audience; In the paper we study the estimation of reinsurance premiums when the claim size is observed together with additional information in the form of random covariates. Using extreme value arguments, we propose an estimator for the risk premium conditional on a value for the covariate, and derive its asymptotic properties, after suitable normalization. The finite sample behavior is evaluated with a simulation experiment, and we apply the methodology to a dataset of automobile insurance claims from Australia. |
| Databáze: | OpenAIRE |
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