Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Yuri Goegebeur, Armelle Guillou, Tine Pedersen, Jing Qin
| Year of publication: |
2022
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|---|---|
| Authors: | Goegebeur, Yuri ; Guillou, Armelle ; Pedersen, Tine ; Qin, Jing |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 107.2022, p. 102-122
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| Subject: | Conditional tail moment | Pareto-type distribution | Tail index | Excess-of-loss reinsurance | Order statistics | Rückversicherung | Reinsurance | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory | Ausreißer | Outliers | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013471190