MODELLING RARE EVENTS IN NON-LIFE INSURANCE WITH EXTREME VALUE THEORY
MODELLING RARE EVENTS IN NON-LIFE INSURANCE WITH EXTREME VALUE THEORY
Author(s): Moussa WajdiSubject(s): Business Economy / Management
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: Extreme value theory; modelling; estimate; queue index; adjusted premium;
Summary/Abstract: This work introduces the extreme value theory and its application in insurance. This statistical theory allows the quantification of the behaviour and the impact of the extreme accidents in an insurance portfolio. It is used to calculate the index of extreme values as well as the adjusted premium with its confidence interval. A study by simulation and an algorithmic implementation were carried out to compare, test and validate the results of the theoretical approaches dedicated to extreme values. This methodology was applied to a real problem, which involves the data of automobile loss ratio. It also constitutes an assistance strategy to price setting in the face of extreme accidents.
Journal: Journal of Academic Research in Economics (JARE)
- Issue Year: 13/2021
- Issue No: 1
- Page Range: 114-125
- Page Count: 12
- Language: English
- Content File-PDF
