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

MAP20180031984

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

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

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

1. Reaseguro . 2. Mercado de seguros . 3. Productos de seguros . 4. Productos financieros . 5. Bonos . 6. Catástrofes naturales . 7. Distribución de pérdidas . 8. Cálculo actuarial . I. Título.