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- Publisher Website: 10.1016/j.insmatheco.2012.07.008
- Scopus: eid_2-s2.0-84865057731
- WOS: WOS:000312176500004
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Article: Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
Title | Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach |
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Authors | |
Keywords | Extreme Value Theory Insurance Claims Modeling Mixture Component Testing Mixture Exponential Distribution Threshold Model |
Issue Date | 2012 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2012, v. 51 n. 3, p. 538-550 How to Cite? |
Abstract | We consider a model which allows data-driven threshold selection in extreme value analysis. A mixture exponential distribution is employed as the thin-tailed distribution in view of the special structure of insurance claims, where individuals are often grouped into categories. An EM algorithm-based procedure is described in model fitting. We then demonstrate how a multi-level fitting procedure will substantially reduce computation time when the data set is large. The fitted model is applied to derive statistics such as return level and expected tail loss of the claim distribution, and ruin probability bounds are obtained. Finally we propose a statistical test to justify the choice of mixture exponential distribution over the homogeneous exponential distribution in terms of improved fit. © 2012 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/172508 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lee, D | en_US |
dc.contributor.author | Li, WK | en_US |
dc.contributor.author | Wong, TST | en_US |
dc.date.accessioned | 2012-10-30T06:22:51Z | - |
dc.date.available | 2012-10-30T06:22:51Z | - |
dc.date.issued | 2012 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2012, v. 51 n. 3, p. 538-550 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172508 | - |
dc.description.abstract | We consider a model which allows data-driven threshold selection in extreme value analysis. A mixture exponential distribution is employed as the thin-tailed distribution in view of the special structure of insurance claims, where individuals are often grouped into categories. An EM algorithm-based procedure is described in model fitting. We then demonstrate how a multi-level fitting procedure will substantially reduce computation time when the data set is large. The fitted model is applied to derive statistics such as return level and expected tail loss of the claim distribution, and ruin probability bounds are obtained. Finally we propose a statistical test to justify the choice of mixture exponential distribution over the homogeneous exponential distribution in terms of improved fit. © 2012 Elsevier B.V. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Extreme Value Theory | en_US |
dc.subject | Insurance Claims Modeling | en_US |
dc.subject | Mixture Component Testing | en_US |
dc.subject | Mixture Exponential Distribution | en_US |
dc.subject | Threshold Model | en_US |
dc.title | Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach | en_US |
dc.type | Article | en_US |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_US |
dc.identifier.authority | Li, WK=rp00741 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2012.07.008 | en_US |
dc.identifier.scopus | eid_2-s2.0-84865057731 | en_US |
dc.identifier.hkuros | 225266 | - |
dc.identifier.volume | 51 | en_US |
dc.identifier.issue | 3 | en_US |
dc.identifier.spage | 538 | en_US |
dc.identifier.epage | 550 | en_US |
dc.identifier.isi | WOS:000312176500004 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Lee, D=55337511400 | en_US |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_US |
dc.identifier.scopusauthorid | Wong, TST=36626723000 | en_US |
dc.identifier.citeulike | 11755444 | - |
dc.identifier.issnl | 0167-6687 | - |