Modelling extremal claim severity using generalized Pareto regression model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094167" target="_blank" >RIV/61989100:27510/15:86094167 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modelling extremal claim severity using generalized Pareto regression model
Original language description
The paper is focused on modelling claim severity in insurance in which it is crucial to cope with the occurrence of large claims to obtain a reliable and accurate model. We present an approach to modelling extremal claim severity using regression model based on the individual characteristics (rating factors) of policyholders because the model based on the risk theory for all claims is not as convenient when we need to obtain estimates of individual claims. Thus, we assume that the individual claim severity follows mixed distribution using the gamma distribution and generalized Pareto (GP) distribution with various parameters for all of the policyholders. However, while the claim frequency is known, the frequency of regular and extremal claims is not. So, we also present a method how to identify the threshold value (location parameter of GP distribution) which de nes the extremal claims and we estimate the generalized Pareto regression model for extremal events using the real block of motor hull insurance policies.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics, MME 2015 : 33rd international conference : conference proceedings : Cheb, Czech Republic, September 9-11, 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
neuvedeno
Number of pages
5
Pages from-to
1-5
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb
Event date
Sep 9, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000387898900148