1 résultat pour « extreme value theory »

Estimation of Generalized Tail Distortion Risk Measures with Applications in Reinsurance

New estimators for generalized tail distortion (GTD) risk measures are proposed, based on first-order asymptotic expansions, offering simplicity and comparable or better performance than existing methods. A reinsurance premium principle using GTD risk measure is tested on car insurance claims data, suggesting its effectiveness in embedding safety loading in pricing to counter statistical uncertainty.