Extreme severity modeling using a GLM-GPD combination : application to an excess of loss reinsurance treaty
Year of publication: |
2023
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Authors: | Ghaddab, Sarra ; Kacem, Manel ; Peretti, Christian de ; Belkacem, Lotfi |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 65.2023, 3, p. 1105-1127
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Subject: | Combined modeling | Excess of loss reinsurance treaty | Extreme claims amounts | Generalized linear model | Generalized Pareto distribution | Pricing | Risikomodell | Risk model | Theorie | Theory | Rückversicherung | Reinsurance | Versicherungsmathematik | Actuarial mathematics | Statistische Verteilung | Statistical distribution |
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