An Extreme-value theory approximation scheme in reinsurance and insurance-linked securities

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<dc:creator>Aviv, Rom</dc:creator>
<dc:date>2018-09-03</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/166184.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Reaseguro</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Productos de seguros</dc:subject>
<dc:subject xml:lang="es">Productos financieros</dc:subject>
<dc:subject xml:lang="es">Bonos</dc:subject>
<dc:subject xml:lang="es">Catástrofes naturales</dc:subject>
<dc:subject xml:lang="es">Distribución de pérdidas</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">An Extreme-value theory approximation scheme in reinsurance and insurance-linked securities</dc:title>
<dc:relation xml:lang="es">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. 1157-1174</dc:relation>
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