Tail Estimation for Large Insurance Claims, an Extreme Value Approach.
In this thesis are extreme value theory used to estimate the probability that large insuranceclaims are exceeding a certain threshold. The expected claim size, given that the claimhas exceeded a certain limit, are also estimated. Two different models are used for thispurpose. The first model is base...
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| Format: | Others |
| Language: | English |
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Linnéuniversitetet, Institutionen för datavetenskap, fysik och matematik, DFM
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-7826 |