On Univariate Extreme Value Statistics and the Estimation of Reinsurance Premiums
نویسندگان
چکیده
Overview (Re)insurance premium calculation Net premium principle Wang's premium principle applied to excess-of-loss reinsurance setting Extreme value statistics Motivation Extreme value theory (first order framework) Estimating reinsurance premiums Finite sample behavior Simulated data (Fréchet, Burr) Reinsurance premiums (net premium, dual-power transform) X non-negative random variable denoting the total claim amount resulting from a single insurance policy decumulative distribution function ¯ F (x) = P (X > x) Net premium principle Under the assumption that risk is essentially non-existing if the insurer sells enough identically distributed and independent policies, on average the insurer will not lose any money when using premium
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