MODELING INSURANCE CLAIMS DISTRIBUTION THROUGH COMBINING GENERALIZED HYPERBOLIC SKEW-T DISTRIBUTION WITH EXTREME VALUE THEORY

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BAJALAN SAEED; RAEI REZA; MOHAMMADI SHAPOUR

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:1 Page(s): 39-58

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Information Journal Paper

Title

MODELING INSURANCE CLAIMS DISTRIBUTION THROUGH COMBINING GENERALIZED HYPERBOLIC SKEW-T DISTRIBUTION WITH EXTREME VALUE THEORY

Author(s)

BAJALAN SAEED | RAEI REZA | MOHAMMADI SHAPOUR | Issue Writer Certificate

Keywords

GENERALIZED HYPERBOLIC SKEWQ2

T DISTRIBUTIONQ2

EVTQ2

EM ALGORITHMQ2

MEAN EXCESS FUNCTIONQ2

Abstract

This paper examines whether combining GENERALIZED HYPERBOLIC SKEW-t distribution, recently introduced in the field of insurance, and Extreme Value Theory (EVT) could result in a modeling of loss function that could model central value as well as extreme value in appropriate manner.The data used in this study are the amount of property damage and bodily injury covered under automobile liability insurance.In order to calibrate GENERALIZED HYPERBOLIC SKEW-t distribution, Expectation Maximization (EM) algorithm has been used. For modeling extreme value based on Peak over Threshold approach, the Maximum Likelihood Estimation (MLE) has been applied.Results reveal that proposed combined distribution could model the losses caused by this type of insurance in a satisfactory manner.

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APA: Copy

BAJALAN, SAEED, RAEI, REZA, & MOHAMMADI, SHAPOUR. (2016). MODELING INSURANCE CLAIMS DISTRIBUTION THROUGH COMBINING GENERALIZED HYPERBOLIC SKEW-T DISTRIBUTION WITH EXTREME VALUE THEORY. FINANCIAL RESEARCH, 18(1 ), 39-58. SID. https://sid.ir/paper/91201/en

Vancouver: Copy

BAJALAN SAEED, RAEI REZA, MOHAMMADI SHAPOUR. MODELING INSURANCE CLAIMS DISTRIBUTION THROUGH COMBINING GENERALIZED HYPERBOLIC SKEW-T DISTRIBUTION WITH EXTREME VALUE THEORY. FINANCIAL RESEARCH[Internet]. 2016;18(1 ):39-58. Available from: https://sid.ir/paper/91201/en

IEEE: Copy

SAEED BAJALAN, REZA RAEI, and SHAPOUR MOHAMMADI, “MODELING INSURANCE CLAIMS DISTRIBUTION THROUGH COMBINING GENERALIZED HYPERBOLIC SKEW-T DISTRIBUTION WITH EXTREME VALUE THEORY,” FINANCIAL RESEARCH, vol. 18, no. 1 , pp. 39–58, 2016, [Online]. Available: https://sid.ir/paper/91201/en

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