Modeling of claim exceedances over random thresholds for related insurance portfolios
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Date
2011
Authors
Eryilmaz, Serkan
Gebizlioğlu, Ömer Lütfi
Tank, Fatih
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science Bv
Abstract
Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved.
Description
Keywords
Largest claim size, Order statistics, Exceedances, Renewal process, Copulas
Turkish CoHE Thesis Center URL
Citation
9
WoS Q
Q2
Scopus Q
Q1
Source
Volume
49
Issue
3
Start Page
496
End Page
500