Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-03-25 DOI:10.1080/03610926.2024.2323634

Sharif Mozumder, M. Kabir Hassan, Ghulam Sorwar, José Antonio Pérez Amuedo

引用次数: 0

Abstract

In this study, we model aggregate claims using a subordinator, specifically a non-decreasing Lévy process. Large positive jumps, exceeding a predetermined threshold, represent significant claims, w...

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在这项研究中，我们利用一个从属因子，特别是一个非递减的莱维过程，对总索赔进行建模。超过预定阈值的大正向跃迁代表了重要的索赔要求，而这些索赔要求会在...

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.