Modeling large claims in non-life insurance

Modeling large claims in non-life insurance

This paper wants to give an overview of relevant distributional models and diagnostics to model large claims or outliers in an insurance setting. The specific behaviour of portfolio items such as total claim amount and ruin probabilities, and the problem of reinsurance in the presence of large claim...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 1992-04, Vol.11 (1), p.17-29
Hauptverfasser: Beirlant, Jan, Teugels, Jozef L.
Format: Artikel
Sprache:eng
Schlagworte:
Claim amount
Distributional models
Insurance
Non-life insurance
Reinsurance
Ruin probabilities
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Beschreibung
Zusammenfassung:This paper wants to give an overview of relevant distributional models and diagnostics to model large claims or outliers in an insurance setting. The specific behaviour of portfolio items such as total claim amount and ruin probabilities, and the problem of reinsurance in the presence of large claims, are elucidated. The existing practical tools are outlined and illustrated with some practical examples.
ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(92)90085-P