Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; … - Hugo Steinhaus Center for Stochastic Methods, … - 2005
In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...
