This paper addresses one of the main challenges faced by insurance companies and risk management departments, namely, how to develop standardised framework for measuring risks of underlying portfolios and in particular, how to most reliably estimate loss severity distribution from historical...

Actuaries are often faced with the task of estimating tails of loss distributions from just a few observations. Thus estimates of tail probabilities (reinsurance prices) and percentiles (solvency capital requirements) are typically subject to substantial parameter uncertainty. We study the bias...