Tail Estimation for Large Insurance Claims, an Extreme Value Approach.

University essay from Linnéuniversitetet/Institutionen för datavetenskap, fysik och matematik, DFM

Abstract: In this thesis are extreme value theory used to estimate the probability that large insuranceclaims are exceeding a certain threshold. The expected claim size, given that the claimhas exceeded a certain limit, are also estimated. Two different models are used for thispurpose. The first model is based on maximum domain of attraction conditions. A Paretodistribution is used in the other model. Different graphical tools are used to check thevalidity for both models. Länsförsäkring Kronoberg has provided us with insurance datato perform the study.Conclusions, which have been drawn, are that both models seem to be valid and theresults from both models are essential equal.

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