Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios

dc.authorid tank, fatih/0000-0003-3758-396X
dc.authorid Tank, Fatih/0000-0003-3758-396X
dc.authorid Gebizlioglu, Ömer/0000-0002-3824-281X
dc.authorid Eryilmaz, Serkan/0000-0002-2108-1781
dc.authorscopusid 8203625300
dc.authorscopusid 8849861700
dc.authorscopusid 12041740200
dc.authorwosid tank, fatih/AAS-2230-2021
dc.authorwosid Eryilmaz, Serkan/AAF-9349-2019
dc.authorwosid Tank, Fatih/W-4877-2017
dc.authorwosid Gebizlioglu, Ömer/ABF-8970-2021
dc.contributor.author Eryilmaz, Serkan
dc.contributor.author Gebizlioglu, Omer L.
dc.contributor.author Tank, Fatih
dc.contributor.other Industrial Engineering
dc.date.accessioned 2024-07-05T15:10:13Z
dc.date.available 2024-07-05T15:10:13Z
dc.date.issued 2011
dc.department Atılım University en_US
dc.department-temp [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
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.citationcount 9
dc.identifier.doi 10.1016/j.insmatheco.2011.08.009
dc.identifier.endpage 500 en_US
dc.identifier.issn 0167-6687
dc.identifier.issn 1873-5959
dc.identifier.issue 3 en_US
dc.identifier.scopus 2-s2.0-80053352580
dc.identifier.startpage 496 en_US
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.identifier.volume 49 en_US
dc.identifier.wos WOS:000297832100021
dc.identifier.wosquality Q2
dc.institutionauthor Eryılmaz, Serkan
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 10
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
dc.wos.citedbyCount 11
dspace.entity.type Publication
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relation.isAuthorOfPublication.latestForDiscovery 37862217-5541-47e3-9406-e21aa38e7fdf
relation.isOrgUnitOfPublication 12c9377e-b7fe-4600-8326-f3613a05653d
relation.isOrgUnitOfPublication.latestForDiscovery 12c9377e-b7fe-4600-8326-f3613a05653d

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