| 用POT方法估计损失分布尾部的效应分析 |
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| 引用本文： | 高洪忠.用POT方法估计损失分布尾部的效应分析[J].数理统计与管理,2004,23(4):64-69. |
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| 作者姓名： | 高洪忠 |
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| 作者单位： | 中国人民财产保险股份有限公司博士后工作站,北京,100052 |
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| 摘 要： | 在再保险中,对高超额层选取及定价等问题的讨论有着重要意义,从而引出对如何选取好的统计模型来拟合大的观测值这一问题的讨论。针对这一问题,我们考虑了POT方法(peaks over thoreholdapproach),即根据极值理论(EVT),用模拟的方法对这一方法进行评价,指出了POT方法的若干优缺点陷。
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| 关 键 词： | POT方法 极值理论 广义Paroto分布 |
| 文章编号： | 1002-1566(2004)03-0064-05 |
| 修稿时间： | 2002年8月16日 |
The composite hypothesis test about a class of idd |
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| GAO Hong-zhong.The composite hypothesis test about a class of idd[J].Application of Statistics and Management,2004,23(4):64-69. |
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| Authors: | GAO Hong-zhong |
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| Abstract: | It is of particular relevance in reinsurance if we are required to choose or price a high-excess layer.In this situation it is essential to find a good statistical model for the largest observed historical losses. To this aim, we pay attention to the Peaks-over-threshold approach(POT) . Our modelling is based on extreme value theory (EVT) ,a sample simulation study is performed to validate the method for estimating excess-of-loss insurance premiums.We provide an extended works where we try to point out the pitfalls and limitations of the methods as well as their considerable strengths. |
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| Keywords: | POT approach Extreme value theory Generalized Pareto distribution |
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