Öz
This paper focuses on the estimation of distortion risk premiums for large reinsurance claims in the context of random right-censoring. We build an asymptotically normal estimator which is based on censored observations for Pareto-type distributions which represent heavy-tailed risks. The method combines semi-parametric extremes with extreme value theory to yield coherent premium estimates under the most challenging claim data scenarios. The provided simulations in conjunction with comprehensive censoring contexts and variances in tail heaviness illustrates the estimator’s robustness and outperformance. Empirical assessment using Norwegian fire claims together with cybersecurity breach datasets adds to the proven value of the methodology. This work presents a robust approach to the estimation of risk at extreme values under censoring that directly impacts excess-of-loss reinsurance contracts and the solvency capital requirements defined by the risk decisions made by actuaries and managerial stakeholders.
Anahtar Kelimeler
Actuarial science censoring distortion risk premium Pareto-type distribution reinsurance premium tail index
Teşekkür
Please find enclosed my paper, co-authored by Brahimi brahim Entitled: “Estimation of Distortion Risk Premiums in reinsurance under random right-censoring”, which I submit for possible publication to Hacettepe Journal of Mathematics and Statistics Conflicts of Interest: The authors declare no conflicts of interest regarding the publication of this paper. Should you have any questions or require further information concerning this submission, please contact me at the address listed below. Best regards, Jihane Abdelli, PhD, Professor Laboratory of Applied Mathematics Mohamed Khider Universy of Biskra, PO Box 145 RP, Biskra, 07000, Algeria
Kaynakça
- [1] P. Artzner, F. Delbaen, J.M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance 9, 203-228, 1999.
Öz
Kaynakça
- [1] P. Artzner, F. Delbaen, J.M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance 9, 203-228, 1999.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | İstatistiksel Teori, Risk Analizi |
| Bölüm | İstatistik |
| Yazarlar | |
| Erken Görünüm Tarihi | 27 Haziran 2025 |
| Yayımlanma Tarihi | |
| Gönderilme Tarihi | 29 Aralık 2024 |
| Kabul Tarihi | 4 Haziran 2025 |
| Yayımlandığı Sayı | Yıl 2025 Erken Görünüm |