Modeling of claim exceedances over random thresholds for related insurance portfolios

Eryilmaz S., Gebizlioglu O. L., TANK F.

INSURANCE MATHEMATICS & ECONOMICS, cilt.49, sa.3, ss.496-500, 2011 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 49 Sayı: 3
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1016/j.insmatheco.2011.08.009
  • Dergi Adı: INSURANCE MATHEMATICS & ECONOMICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.496-500
  • Anahtar Kelimeler: Largest claim size, Order statistics, Exceedances, Renewal process, Copulas, DISTRIBUTIONS
  • Ankara Üniversitesi Adresli: Evet

Özet

Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks, determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved.