Modeling of claim exceedances over random thresholds for related insurance portfolios
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.
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Volume (Year): 49 (2011)
Issue (Month): 3 ()
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- Jacek Wesołowski & Mohammad Ahsanullah, 1998. "Distributional Properties of Exceedance Statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(3), pages 543-565, September.
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- Ismihan Bairamov & Samuel Kotz, 2001. "On distributions of exceedances associated with order statistics and record values for arbitrary distributions," Statistical Papers, Springer, vol. 42(2), pages 171-185, April.
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