Abstract
In this paper, we deal with the problem of taking account of large claims in rate making procedure. Both Generalised Linear Models and Extreme Value Theory are applied in order to build a model to evaluate the fair premiums in a tariff system. A numerical application concerning motor insurance is developed.
Volume
Cancun
Year
2002
Categories
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Actuarial Applications and Methodologies
Ratemaking
Large Loss and Extreme Event Loading
Financial and Statistical Methods
Extreme Event Modeling
Other Extreme Events
Publications
ASTIN Colloquium
