Abstract
In the past there has been much discussion about the definition of probable maximum loss (PML), but little attention has been given to its quantification. This paper will introduce the concept of order statistics as a too1 to use in estimating the PML. Two approaches will be used that will lead to six specific methods for estimating the PML. These six methods will then be illustrated with specific examples.
Volume
May
Page
505-528
Year
1982
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Business Areas
Reinsurance
Financial and Statistical Methods
Statistical Models and Methods
Publications
Casualty Actuarial Society Discussion Paper Program
