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Extending composite loss models using a general framework of advanced computational tools
13 references·0 citing·21 second hop
Extending composite loss models using a general framework of advanced computational tools (2019)Extending composite loss models using a g…Compound unimodal distributions for insurance losses (2017)Compound unimodal distributio…Modeling loss data using mixtures of distributions (2016)Modeling loss data using mixt…Modeling claims data with composite Stoppa models (2015)Modeling claims data with com…Modeling loss data using composite models (2014)Modeling loss data using comp…An Academic Response to Basel 3.5 (2014)An Academic Response to Basel…New composite models for the Danish fire insurance data (2012)New composite models for the …Modeling with Weibull-Pareto Models (2012)Modeling with Weibull-Pareto …Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Modeling and Evaluating Insur…Composite Lognormal–Pareto model with random threshold (2010)Composite Lognormal–Pareto mo…On composite lognormal-Pareto models (2007)On composite lognormal-Pareto…Loss Models: From Data to Decisions (2006)Loss Models: From Data to Dec…Modeling actuarial data with a composite lognormal-Pareto model (2005)Modeling actuarial data with …Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)On generalized log-Moyal distribution: A new heavy tailed size distribution (2018)Understanding Relationships Using Copulas (1998)Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions (2017)Modelling of extremal events in insurance and finance (1994)Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012)Simulation Modeling and Analysis. (1983)Empirical Model Building and Response Surfaces (1988)A new class of models for heavy tailed distributions in finance and insurance risk (2012)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)What Can (Macro-) Prudential Policy do to Support Monetary Policy? (2007)Risk management with expectiles (2015)Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution (2017)Concomitant-Variable Latent-Class Models (1988)Data breaches: Goodness of fit, pricing, and risk measurement (2017)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The compound Poisson risk model with a threshold dividend strategy (2005)Approximation of the tail probability of randomly weighted sums and applications (2008)
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References

  • 1999Loss Models: From Data to Decisions1,232 cited
  • 2014An Academic Response to Basel 3.5236 cited
  • 2006Loss Models: From Data to Decisions230 cited
  • 2005Modeling actuarial data with a composite lognormal-Pareto model219 cited
  • 2007On composite lognormal-Pareto models177 cited
  • 2010Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions129 cited
  • 2014Modeling loss data using composite models119 cited
  • 2012New composite models for the Danish fire insurance data102 cited
  • 2016Modeling loss data using mixtures of distributions101 cited
  • 2012Modeling with Weibull-Pareto Models98 cited
  • 2010Composite Lognormal–Pareto model with random threshold79 cited
  • 2017Compound unimodal distributions for insurance losses73 cited
  • 2015Modeling claims data with composite Stoppa models68 cited

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