摘要
How to choose an optimal threshold is a key problem in the generalized Pareto distribution (GPD) model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data.
How to choose an optimal threshold is a key problem in the generalized Pareto distribution (GPD) model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data.
基金
SupportedbySocietyScienceFoundationofChina(04BTJ010)andHunanProvincialNatureScienceFoundationofChina.