Statistical Tools for Modeling Claim Severity

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F14%3A39898348" target="_blank" >RIV/00216275:25410/14:39898348 - isvavai.cz</a>

Výsledek na webu

<a href="http://is.muni.cz/do/econ/sborniky/2014/proceedings-EFS-2014.pdf" target="_blank" >http://is.muni.cz/do/econ/sborniky/2014/proceedings-EFS-2014.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Statistical Tools for Modeling Claim Severity

Popis výsledku v původním jazyce

The main aim of the paper is point out on a new approach to statistical modelling of claims severity by using quantile functions. In addition to explain the theoretical principles and present the application of claims severity models that based on quantile function. Claims severity in non-life insurance refers to the monetary loss of an insurance claim and is usually modeled as a non-negative continuous random variable. The conditions under which claims are performed and data are collected allow considering the claims severity to be samples from specific heavy-tailed probability distribution. Probability models of claims severity creates the basis for solving of many substantial problems in non-life insurance company. To find the models based on empirical data can be used several methods such as goodness of fit tests, kernel densities, composition distributions or mixture distributions. In this regard, quantile methods provide an appropriate and flexible approach to the probability mod

Název v anglickém jazyce

Statistical Tools for Modeling Claim Severity

Popis výsledku anglicky

The main aim of the paper is point out on a new approach to statistical modelling of claims severity by using quantile functions. In addition to explain the theoretical principles and present the application of claims severity models that based on quantile function. Claims severity in non-life insurance refers to the monetary loss of an insurance claim and is usually modeled as a non-negative continuous random variable. The conditions under which claims are performed and data are collected allow considering the claims severity to be samples from specific heavy-tailed probability distribution. Probability models of claims severity creates the basis for solving of many substantial problems in non-life insurance company. To find the models based on empirical data can be used several methods such as goodness of fit tests, kernel densities, composition distributions or mixture distributions. In this regard, quantile methods provide an appropriate and flexible approach to the probability mod

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 11th International Scientific Conference European Financial Systems 2014

ISBN

978-80-210-7153-7

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

288-294

Název nakladatele

Masarykova univerzita

Místo vydání

Brno

Místo konání akce

Lednice

Datum konání akce

12. 6. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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