• Corpus ID: 15837140

Economic Risk Capital and Reinsurance: an Extreme Value Theory’s Application to Fire Claims of an Insurance Company∗

@inproceedings{Corradin2001EconomicRC,
  title={Economic Risk Capital and Reinsurance: an Extreme Value Theory’s Application to Fire Claims of an Insurance Company∗},
  author={Stefano Corradin},
  year={2001}
}
The viability of an insurance company depends critically on the size and frequency of large claims. An accurate modelling of the distribution of large claims contributes to correct pricing’s and reserving’s decisions while maintaining through reinsurance an acceptable level of the unexpected fluctuations in the results. We present an application to the fire claims of an insurance company providing a model for large losses that we evaluate through simulations based on both a traditional and a… 

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