Centro de Documentacion de Fundación MAPFRE - An Extreme-value theory approximation scheme in reinsurance and insurance-linked securities

Notes: Sumario: This 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.Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/09/2018 Volumen 48 Número 3 - septiembre 2018 , p. 1157-1174Materia / lugar / evento: Reaseguro Mercado de seguros Productos de seguros Productos financieros Bonos Catástrofes naturales Distribución de pérdidas Cálculo actuarial Other categories: 219

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