Modeling claim exceedances over thresholds
In this paper, we consider a simple risk model and study the occurrences of clusters of threshold exceedances by the individual claims. The statistic used to study the model is the discrete multiple scan statistic. A compound Poisson approximation is established and certain asymptotic results are ob...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2002-02, Vol.30 (1), p.67-83 |
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| container_title | Insurance, mathematics & economics |
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| creator | Boutsikas, M.V. Koutras, M.V. |
| description | In this paper, we consider a simple risk model and study the occurrences of clusters of threshold exceedances by the individual claims. The statistic used to study the model is the discrete multiple scan statistic. A compound Poisson approximation is established and certain asymptotic results are obtained for both the risk model and a similar in nature financial problem. Finally, we review two typical examples from areas of applied science where the outcomes of this paper may have beneficial impact. |
| doi_str_mv | 10.1016/S0167-6687(01)00097-X |
| format | Article |
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| ispartof | Insurance, mathematics & economics, 2002-02, Vol.30 (1), p.67-83 |
| issn | 0167-6687 1873-5959 |
| language | eng |
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| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Claim exceedances Cluster analysis Compound Poisson approximation Discrete scan statistic Economic models Insurance Mathematical models Multiple scan statistic Poisson convergence Risk Risk model Studies Weibull limit theorem |
| title | Modeling claim exceedances over thresholds |
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