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GENERALIZED PARETO DISTRIBUTION FIT TO MEDICAL INSURANCE CLAIMS DATA 被引量：2

GENERALIZED PARETO DISTRIBUTION FIT TO MEDICAL INSURANCE CLAIMS DATA
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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.
作者 Ouyang Zisheng Xie Chi
机构地区 College of Business Administration Department of Information
出处 《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2006年第1期21-29,共9页 高校应用数学学报（英文版）（B辑）
基金 SupportedbySocietyScienceFoundationofChina(04BTJ010)andHunanProvincialNatureScienceFoundationofChina.
关键词 generalized Pareto distribution high quantile probable maximum loss. generalized Pareto distribution, high quantile, probable maximum loss.
分类号 F840.684 [经济管理—保险]
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参考文献8

  • 1Cebrian A C,Denuit M,Lambert P. Generalized Pareto fit to the society of actuaries' large claims database,North American Actuarial J, 2003, (3) : 18-36.
  • 2Choulakian V, Stephens M A. Goodness of-fit tests for the generalized Pareto distribution,Technometrics, 2001,43 (4) : 478-484.
  • 3Davis A C,Smith R L. Models for exceedances over high thresholds (with discussion),Journal of the Royal Statistical Society ,B, 1990,52 (3) : 393-442.
  • 4Embrechts P, Kuppelberg C, Mikosch T. Modelling Extreme Events, New York. Springer Verlag,1997.
  • 5Fan J, Embrechts P,Resnick S, Extreme value theory as a risk management tool, North American Actuarial J,1999,2(3) :30-41.
  • 6Kremer E. More on the probable maximum loss, Blatter der Deutschen Gesellschaft fur Versicherungsmathematik, 1994,25-319.
  • 7Pickands J. Statistical inference using extreme order statistics, Ann Statist B, 1975,4 : 119-131.
  • 8Wilkinson M E. Estimating probable makimum loss with order statistics,Proceedings of the Casualty Actuarial Society, 1982,LXIX : 195-209.

同被引文献9

  • 1Cebrian,A.C.,Denuit,M., Lambert,P.Generalized Pareto Fit to the Society of Actuarie's Large claims Database[J].North American Actu- arial, 2003, (3).
  • 2Embrechts, P., Klauppelberg, C., Mikosch, T. Modeling Extremal Events for Insurance and Finance[M]. Berlin:Springer, 1999.
  • 3Hesselager,O. A Class of Conjugate Priors with Applications to Ex cess-of-loss Reinsurance[J]. Astin Bulletin, 1993, (23).
  • 4Kremer, E. More on the Probable Maximum Loss[J]. Mathematics and Statistics, 1994,21 (3).
  • 5Reiss, R.D., Thomas,T. A New Class of Bayessian Estimations in Paretian Excess-of-loss Reinsurance[J]. Astin Bulletin , 1999,29(2).
  • 6Reiss R.D., Thomas, M. Statistical Analysis of Extreme Values[J]. MSOR Comections,2002,2(2).
  • 7Reiss R.D., Thomas, M. Bayesian Extreme Value Analysis with an Application to Credibility Estimation [C].9th Symposium on Finance, Banking, and Insurance. Universitaat Karlsruhe (TH),2002.
  • 8Wilkinson, M.E. Estimating Probable Maximum Loss With Order Statistics[C].Proceedings of the Casualty Actuarial Society. LXIX, 1982.
  • 9孙清元,郑万模,倪化勇.我国西南地区山地灾害灾情年际综合评估[J].沉积与特提斯地质,2007,27(3):105-107. 被引量：13

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二级引证文献17

Applied Mathematics(A Journal of Chinese Universities)
2006年 第1期

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