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
Hauptverfasser:	Boutsikas, M.V., Koutras, M.V.
Format:	Artikel
Sprache:	eng
Schlagworte:	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
Online-Zugang:	Volltext
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