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- Title
Approximation of the Equilibrium Distribution via Extreme Value Theory: an Application to Insurance Risk.
- Authors
Martín-González, Ehyter Matías; Kolkovska, Ekaterina Todorova; Murillo-Salas, Antonio
- Abstract
We use the excess over a threshold method (see e.g. Embrechts et al. 1997) to approximate the tails of equilibrium distributions (integrated tail distributions) associated to distributions with regularly varying tail. We evaluate the performance of our approximations in some particular cases of distributions with regularly varying tails. Finally, we apply our results to the Danish reinsurance real data set.
- Subjects
DISTRIBUTION (Probability theory); RISK (Insurance); ACTUARIAL risk; EXTREME value theory; EQUILIBRIUM
- Publication
Methodology & Computing in Applied Probability, 2021, Vol 23, Issue 3, p753
- ISSN
1387-5841
- Publication type
Article
- DOI
10.1007/s11009-020-09779-w