Robust Estimation of the Parameters of the GPD A Case Study
نویسنده
چکیده
The paper presents the results of a case study fitting the generalized Pareto distribution to insurance industry claims data. Besides classical parametric procedures, robust statistical concepts are considered. The latter provide instruments to assess the characteristics of estimators also in the neighborhood of parametric models. A demand for robust methods may arise in cases of fitting distribution functions to large claims or extreme events, that is, in situations, in which quite a few data points may have a considerable impact on the estimate. Special areas of application are the calibration of individual large claims in internal models and reinsurance pricing.
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