On univariate extreme value statistics and the estimation of reinsurance premiums [An article from: Insurance Mathematics and Economics]

This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
In this paper, we consider the estimation of insurance premiums for excess-of-loss reinsurance policies in excess of a high retention level. Special attention is paid to Wang's premium principle and heavy-tailed distributions, for which estimators of small exceedance probabilities allow the estimation of reinsurance premiums. Next to the construction of estimators, we also consider the corresponding asymptotic results and illustrate the finite sample behavior through a real insurance application as well as simulations.