Related papers: Statistics of Extremes for the Insurance Industry
The task of analyzing extreme events with censoring effects is considered under a framework allowing for random covariate information. A wide class of estimators that can be cast as product-limit integrals is considered, for when the…
In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…
In this paper, we provide finite sample results to assess the consistency of Generalized Pareto regression trees, as tools to perform extreme value regression. The results that we provide are obtained from concentration inequalities, and…
Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored.…
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…
We investigate the estimation of the extreme value index when the data are subject to random censorship. We prove, in a unified way, detailed asymptotic normality results for various estimators of the extreme value index and use these…
The conditional survival function of a time-to-event outcome subject to censoring and truncation is a common target of estimation in survival analysis. This parameter may be of scientific interest and also often appears as a nuisance in…
Accurately predicting the time of occurrence of an event of interest is a critical problem in longitudinal data analysis. One of the main challenges in this context is the presence of instances whose event outcomes become unobservable after…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
The subject of tail estimation for randomly censored data from a heavy tailed distribution receives growing attention, motivated by applications for instance in actuarial statistics. The bias of the available estimators of the extreme value…
The finite sensitivity of instruments or detection methods means that data sets in many areas of astronomy, for example cosmological or exoplanet surveys, are necessarily systematically incomplete. Such data sets, where the population being…
Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…
The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding extreme areal rainfall is crucial in flood protection. This article reviews recent…
Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…
By the nature of their construction, many statistical models for extremes result in likelihood functions that are computationally prohibitive to evaluate. This is consequently problematic for the purposes of likelihood-based inference. With…
We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator…
Machine Learning permeates many industries, which brings new source of benefits for companies. However within the life insurance industry, Machine Learning is not widely used in practice as over the past years statistical models have shown…
A number of models for generating statistical data in various fields of insurance, including life insurance, pensions, and general insurance have been considered. It is shown that the insurance statistics data, as a rule, are truncated and…
Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…