Extreme value estimation of the conditional risk premium in reinsurance

Yuri Goegebeur; Armelle Guillou; Jing Qin

doi:10.1016/j.insmatheco.2020.10.010

Extreme value estimation of the conditional risk premium in reinsurance

Yuri Goegebeur^*, Armelle Guillou, Jing Qin

^*Kontaktforfatter for dette arbejde

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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Abstrakt

In the paper we study the estimation of reinsurance premiums when the claim size is observed together with additional information in the form of random covariates. Using extreme value arguments, we propose an estimator for the risk premium conditional on a value for the covariate, and derive its asymptotic properties, after suitable normalization. The finite sample behavior is evaluated with a simulation experiment, and we apply the methodology to a dataset of automobile insurance claims from Australia.

Originalsprog	Engelsk
Tidsskrift	Insurance: Mathematics and Economics
Vol/bind	96
Sider (fra-til)	68-80
ISSN	0167-6687
DOI	https://doi.org/10.1016/j.insmatheco.2020.10.010
Status	Udgivet - jan. 2021

Dokumenter og links

10.1016/j.insmatheco.2020.10.010

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Citationsformater

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AU - Guillou, Armelle

AU - Qin, Jing

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AB - In the paper we study the estimation of reinsurance premiums when the claim size is observed together with additional information in the form of random covariates. Using extreme value arguments, we propose an estimator for the risk premium conditional on a value for the covariate, and derive its asymptotic properties, after suitable normalization. The finite sample behavior is evaluated with a simulation experiment, and we apply the methodology to a dataset of automobile insurance claims from Australia.

KW - Nonparametric estimation

KW - Pareto-type distribution

KW - Reinsurance premium

KW - Risk

KW - Tail index

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DO - 10.1016/j.insmatheco.2020.10.010

M3 - Journal article

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