Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios
dc.contributor.author | Eryilmaz, Serkan | |
dc.contributor.author | Gebizlioğlu, Ömer Lütfi | |
dc.contributor.author | Tank, Fatih | |
dc.date.accessioned | 2019-06-27T08:04:36Z | |
dc.date.available | 2019-06-27T08:04:36Z | |
dc.date.issued | 2011 | |
dc.department | Fakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümü | en_US |
dc.description.abstract | Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved. | en_US] |
dc.identifier.citation | 9 | |
dc.identifier.doi | 10.1016/j.insmatheco.2011.08.009 | en_US |
dc.identifier.endpage | 500 | |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.issn | 0167-6687 | |
dc.identifier.issue | 3 | |
dc.identifier.scopus | 2-s2.0-80053352580 | en_US |
dc.identifier.scopusquality | Q1 | |
dc.identifier.startpage | 496 | en_US |
dc.identifier.uri | https://hdl.handle.net/20.500.12469/963 | |
dc.identifier.uri | https://doi.org/10.1016/j.insmatheco.2011.08.009 | |
dc.identifier.volume | 49 | en_US |
dc.identifier.wos | WOS:000297832100021 | en_US |
dc.identifier.wosquality | Q2 | |
dc.institutionauthor | Gebizlioğlu, Ömer Lütfi | en_US |
dc.institutionauthor | Gebizlioğlu, Ömer Lütfi | |
dc.language.iso | en | en_US |
dc.publisher | Elsevier Science Bv | en_US |
dc.relation.journal | Insurance: Mathematics and Economics | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Largest claim size | en_US |
dc.subject | Order statistics | en_US |
dc.subject | Exceedances | en_US |
dc.subject | Renewal process | en_US |
dc.subject | Copulas | en_US |
dc.title | Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios | en_US |
dc.type | Article | en_US |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | 5a5c8816-1812-437a-81bb-7e07bf97810e | |
relation.isAuthorOfPublication.latestForDiscovery | 5a5c8816-1812-437a-81bb-7e07bf97810e |
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