This paper focuses on modeling and estimating tail parameters of loss distributions from Taiwanese commercial fire loss severity. Using extreme value theory, we employ the generalized Pareto ...
Insurance loss distributions play a central role in actuarial science and risk management, guiding premium setting, reserve estimation and capital allocation for non-life insurance portfolios.
We introduce several possibilities for the estimation of the shape parameter of the generalized Pareto distribution through expert opinions, in an ideal context where expert opinions come from self ...
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