Threshold detection for the generalized Pareto distribution: Review of representative methods and application to the NOAA NCDC daily rainfall database
In extreme excess modeling, one fits a generalized Pareto (GP) distribution to rainfall
excesses above a properly selected threshold u. The latter is generally determined using …
excesses above a properly selected threshold u. The latter is generally determined using …
A modeler's guide to extreme value software
This review paper surveys recent development in software implementations for extreme
value analyses since the publication of Stephenson and Gilleland (Extremes 8: 87–109,) …
value analyses since the publication of Stephenson and Gilleland (Extremes 8: 87–109,) …
Effective statistical learning methods for actuaries
M Denuit, J Trufin - 2019 - Springer
The present material is written for students enrolled in actuarial master programs and
practicing actuaries, who would like to gain a better understanding of insurance data …
practicing actuaries, who would like to gain a better understanding of insurance data …
After VaR: the theory, estimation, and insurance applications of quantile‐based risk measures
K Dowd, D Blake - Journal of Risk and Insurance, 2006 - Wiley Online Library
We discuss a number of quantile‐based risk measures (QBRMs) that have recently been
developed in the financial risk and actuarial/insurance literatures. The measures considered …
developed in the financial risk and actuarial/insurance literatures. The measures considered …
Modeling claims data with composite Stoppa models
E Calderín-Ojeda, CF Kwok - Scandinavian Actuarial Journal, 2016 - Taylor & Francis
In this paper, a new class of composite model is proposed for modeling actuarial claims data
of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching …
of mixed sizes. The model is developed using the Stoppa distribution and a mode-matching …
Composite Lognormal–Pareto model with random threshold
M Pigeon, M Denuit - Scandinavian Actuarial Journal, 2011 - Taylor & Francis
This paper further considers the composite Lognormal–Pareto model proposed by Cooray &
Ananda (2005) and suitably modified by Scollnik (2007). This model is based on a …
Ananda (2005) and suitably modified by Scollnik (2007). This model is based on a …
Non-life rate-making with Bayesian GAMs
This paper aims to propose modern rate-making techniques based on Generalized Additive
Models (GAMs) and extensions. The method accounts for discrete, continuous, categorical …
Models (GAMs) and extensions. The method accounts for discrete, continuous, categorical …
Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
Generalized additive models for location, scale and, shape define a flexible, semi-
parametric class of regression models for analyzing insurance data in which the exponential …
parametric class of regression models for analyzing insurance data in which the exponential …
A form of multivariate Pareto distribution with applications to financial risk measurement
A new multivariate distribution possessing arbitrarily parametrized and positively dependent
univariate Pareto margins is introduced. Unlike the probability law of Asimit et al.(2010), the …
univariate Pareto margins is introduced. Unlike the probability law of Asimit et al.(2010), the …
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
A Chiragiev, Z Landsman - Scandinavian Actuarial Journal, 2007 - Taylor & Francis
Determination of risk capital is a subject of active interest to researchers, regulators of
financial institutions, and commercial vendors of financial products and services. Recently …
financial institutions, and commercial vendors of financial products and services. Recently …