Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios
| dc.contributor.author | Eryilmaz, Serkan | |
| dc.contributor.author | Gebizlioglu, Omer L. | |
| dc.contributor.author | Tank, Fatih | |
| dc.contributor.other | Industrial Engineering | |
| dc.contributor.other | 06. School Of Engineering | |
| dc.contributor.other | 01. Atılım University | |
| dc.date.accessioned | 2024-07-05T15:10:13Z | |
| dc.date.available | 2024-07-05T15:10:13Z | |
| dc.date.issued | 2011 | |
| dc.description | tank, fatih/0000-0003-3758-396X; Tank, Fatih/0000-0003-3758-396X; Gebizlioglu, Ömer/0000-0002-3824-281X; Eryilmaz, Serkan/0000-0002-2108-1781 | en_US |
| dc.description.abstract | Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks, determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved. | en_US |
| dc.description.sponsorship | Scientific and Technological Research Council of Turkey (TUBITAK) | en_US |
| dc.description.sponsorship | The third author acknowledges the financial support of The Scientific and Technological Research Council of Turkey (TUBITAK) during his post doctoral research at Katholieke Universiteit Leuven, Belgium. | en_US |
| dc.identifier.doi | 10.1016/j.insmatheco.2011.08.009 | |
| dc.identifier.issn | 0167-6687 | |
| dc.identifier.issn | 1873-5959 | |
| dc.identifier.scopus | 2-s2.0-80053352580 | |
| dc.identifier.uri | https://doi.org/10.1016/j.insmatheco.2011.08.009 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/1287 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Largest claim size | en_US |
| dc.subject | Order statistics | en_US |
| dc.subject | Exceedances | en_US |
| dc.subject | Renewal process | en_US |
| dc.subject | Copulas | en_US |
| dc.title | Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | tank, fatih/0000-0003-3758-396X | |
| gdc.author.id | Tank, Fatih/0000-0003-3758-396X | |
| gdc.author.id | Gebizlioglu, Ömer/0000-0002-3824-281X | |
| gdc.author.id | Eryilmaz, Serkan/0000-0002-2108-1781 | |
| gdc.author.institutional | Eryılmaz, Serkan | |
| gdc.author.scopusid | 8203625300 | |
| gdc.author.scopusid | 8849861700 | |
| gdc.author.scopusid | 12041740200 | |
| gdc.author.wosid | tank, fatih/AAS-2230-2021 | |
| gdc.author.wosid | Eryilmaz, Serkan/AAF-9349-2019 | |
| gdc.author.wosid | Tank, Fatih/W-4877-2017 | |
| gdc.author.wosid | Gebizlioglu, Ömer/ABF-8970-2021 | |
| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::journal::journal article | |
| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Eryilmaz, Serkan] Atilim Univ, Dept Ind Engn, TR-06836 Ankara, Turkey; [Gebizlioglu, Omer L.] Kadir Has Univ, Fac Econ & Adm Sci, TR-34083 Istanbul, Turkey; [Tank, Fatih] Ankara Univ, Fac Sci, Dept Stat, TR-06100 Ankara, Turkey | en_US |
| gdc.description.endpage | 500 | en_US |
| gdc.description.issue | 3 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 496 | en_US |
| gdc.description.volume | 49 | en_US |
| gdc.description.wosquality | Q2 | |
| gdc.identifier.openalex | W2064614891 | |
| gdc.identifier.wos | WOS:000297832100021 | |
| gdc.openalex.fwci | 0.364 | |
| gdc.openalex.normalizedpercentile | 0.81 | |
| gdc.opencitations.count | 10 | |
| gdc.plumx.crossrefcites | 10 | |
| gdc.plumx.mendeley | 12 | |
| gdc.plumx.scopuscites | 10 | |
| gdc.scopus.citedcount | 10 | |
| gdc.wos.citedcount | 11 | |
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