Pareto Distribution in Insurance and Reinsurance

被引：0
|
作者：
Pacakova, Viera [1 ]
Gogola, Jan [1 ]
机构：
[1] Univ Pardubice, Fac Econ & Adm, Pardubice, Czech Republic
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III | 2013年
关键词：
Pareto distribution; quantile function; simulation; excess of loss reinsurance; priority; loss premium; conditional VaR;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Pareto distribution in the U.S. and Europe form is a widely used tool in reducing the actuarial-technical risk of insurance companies. The article deals with its use in modelling of insurance losses, in simulation of extreme losses, in determining net premium in case of non-proportional reinsurance and in calculation of some risk measures. The theory is complemented by demonstrations of applications using Excel spread sheet and statistical software package Statgraphics Centurion.
引用
收藏
页码：648 / 657
页数：10
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