Univariate and bivariate GPD methods for predicting extreme wind storm losses
نویسندگان
چکیده
منابع مشابه
Univariate and bivariate GPD methods for predicting extreme wind storm losses
Wind storm and hurricane risks are attracting increased attention as a result of recent catastrophic events. The aim of this paper is to select, tailor, and develop extreme value methods for use in wind storm insurance. The methods are applied to the 1982–2005 losses for the largest Swedish insurance company, the Länsförsäkringar group. Both a univariate and a new bivariate Generalized Pareto D...
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Article history: Received 23 August 2008 Accepted 3 August 2009 Available online xxxx Submitted by V. Olshevsky AMS classification: 11C20 11S05 15A60 13F20
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2009
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2008.11.002