Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
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References listed on IDEAS
- Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2013. "Individual Loss Reserving With The Multivariate Skew Normal Framework," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 399-428, September.
- McNeil, Alexander J., 1997. "Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(01), pages 117-137, May.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-CMP-2013-11-09 (Computational Economics)
- NEP-HEA-2013-11-09 (Health Economics)
- NEP-IAS-2013-11-09 (Insurance Economics)
- NEP-RMG-2013-11-09 (Risk Management)
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