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FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Rocco Roberto Cerchiara

    (University of Calabria)

Abstract

This paper shows an example of integrated use of three different approaches (Extreme Value Theory (EVT), two-dimensional Fast Fourier Transform (FFT) and Monte Carlo simulation) to model non-life insurance company aggregate losses, taking into account the need for Internal Risk Model development in the light of Solvency II European project. In particular EVT permits the definition of the truncation point between small and large claims. Two-dimensional FFT is used to model not only aggregate losses, but dependence between its basic components too. Finally, Monte Carlo simulation describes large claims behaviour. Collective Risk Model has been developed using Matlab software.

Suggested Citation

  • Rocco Roberto Cerchiara, 2008. "FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 61-65, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_8
    DOI: 10.1007/978-88-470-0704-8_8
    as

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