An Extreme-value theory approximation scheme in reinsurance and insurance-linked securities
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| 001 | MAP20180031984 | ||
| 003 | MAP | ||
| 005 | 20220911203306.0 | ||
| 008 | 181119e20180903gbr|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
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| 100 | $0MAPA20180014581$aAviv, Rom | ||
| 245 | 1 | 3 | $aAn Extreme-value theory approximation scheme in reinsurance and insurance-linked securities$cRom Aviv |
| 520 | $aThis article establishes a "top-down" approximation scheme to approximate loss distributions of reinsurance products and Insurance-Linked Securities based on three input parameters, namely the Attachment Probability, Expected Loss and Exhaustion Probability. The used method is rigorously derived by utilizing a classical result from Extreme-Value Theory, the Pickands-Balkema-de Haan theorem. | ||
| 650 | 4 | $0MAPA20080552367$aReaseguro | |
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080598358$aProductos de seguros | |
| 650 | 4 | $0MAPA20080603182$aProductos financieros | |
| 650 | 4 | $0MAPA20080538279$aBonos | |
| 650 | 4 | $0MAPA20080600204$aCatástrofes naturales | |
| 650 | 4 | $0MAPA20090025479$aDistribución de pérdidas | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1157-1174 |