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AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES
| Content Provider | Scilit |
|---|---|
| Author | Aviv, Rom |
| Copyright Year | 2018 |
| Description | We establish 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. Our method is rigorously derived by utilizing a classical result from Extreme-Value Theory, the Pickands–Balkema–de Haan theorem. The robustness of the scheme is demonstrated by proving sharp error-bounds for the approximated curves with respect to the supremum and $L^{2}$ norms. The practical implications of our findings are examined by applying it to Industry Loss Warranties: the method performs very accurately for each transaction. Our approach can be used in a variety of applications such as vendor model blending, portfolio optimization and premium calculation. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/B0DD15D85C2BFB0136303D4B9E46766F/S0515036118000107a.pdf/div-class-title-an-extreme-value-theory-approximation-scheme-in-reinsurance-and-insurance-linked-securities-div.pdf |
| Ending Page | 1173 |
| Page Count | 17 |
| Starting Page | 1157 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.1017/asb.2018.10 |
| Journal | ASTIN Bulletin |
| Issue Number | 3 |
| Volume Number | 48 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2018-09-01 |
| Access Restriction | Open |
| Subject Keyword | ASTIN Bulletin Cybernetical Science value Theory Loss Exceedance Probability Curve linked Securities |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
