Pricing catastrophe reinsurance risk premium using Peaks over Threshold (POT) model

被引:0
|
作者
Jaladri, A.S. [1 ]
Nurrohmah, S. [1 ]
Fithriani, I. [1 ]
机构
[1] Department of Mathematics, Faculty of Mathematics and Natural Sciences (FMIPA), Universitas Indonesia, Depok,16424, Indonesia
来源
Journal of Physics: Conference Series | 2021年 / 1725卷 / 01期
关键词
911 Cost and Value Engineering; Industrial Economics - 922.1 Probability Theory;
D O I
暂无
中图分类号
学科分类号
摘要
Poisson distribution
引用
收藏
相关论文
共 50 条
  • [31] A REINSURANCE RISK MODEL WITH A THRESHOLD COVERAGE POLICY: THE GERBER-SHIU PENALTY FUNCTION
    Boxma, O. J.
    Frostig, E.
    Perry, D.
    JOURNAL OF APPLIED PROBABILITY, 2017, 54 (01) : 267 - 285
  • [32] Peaks-over-threshold model in flood frequency analysis: a scoping review
    Xiao Pan
    Ataur Rahman
    Khaled Haddad
    Taha B. M. J. Ouarda
    Stochastic Environmental Research and Risk Assessment, 2022, 36 : 2419 - 2435
  • [33] Peaks-over-threshold model in flood frequency analysis: a scoping review
    Pan, Xiao
    Rahman, Ataur
    Haddad, Khaled
    Ouarda, Taha B. M. J.
    STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT, 2022, 36 (09) : 2419 - 2435
  • [34] A credibility-based yield forecasting model for crop reinsurance pricing and weather risk management
    Zhu, Wenjun
    Porth, Lysa
    Tan, Ken Seng
    AGRICULTURAL FINANCE REVIEW, 2019, 79 (01) : 2 - 26
  • [35] Estimation of Car Insurance Loss Ratio Using the Peaks over Threshold Method
    Kim, S. Y.
    Song, J.
    KOREAN JOURNAL OF APPLIED STATISTICS, 2012, 25 (01) : 101 - 114
  • [36] Extreme values identification in regression using a peaks-over-threshold approach
    Wong, Tong Siu Tung
    Li, Wai Keung
    JOURNAL OF APPLIED STATISTICS, 2015, 42 (03) : 566 - 576
  • [37] Nonstationarity in peaks-over-threshold river flows: A regional random effects model
    Eastoe, E. F.
    ENVIRONMETRICS, 2019, 30 (05)
  • [38] A Novel Model for Finance and Reliability Applications: Theory, Practices and Financial Peaks Over a Random Threshold Value-at-Risk Analysis
    Aljadani, Abdussalam
    Mansour, Mahmoud M.
    Yousof, Haitham M.
    PAKISTAN JOURNAL OF STATISTICS AND OPERATION RESEARCH, 2024, 20 (03) : 489 - 515
  • [39] Comparison of Estimation Methods for a Nonstationary Index-Flood Model in Flood Frequency Analysis Using Peaks Over Threshold
    Durocher, Martin
    Burn, Donald H.
    Ashkar, Fahim
    WATER RESOURCES RESEARCH, 2019, 55 (11) : 9398 - 9416
  • [40] Evaluating changes in flood regime in Canadian watersheds using peaks over threshold approach
    Bhaktikul K.
    Sharif M.
    ISH Journal of Hydraulic Engineering, 2022, 28 (S1) : 433 - 438