Analyzing solvency with extreme value theory: an application to the Spanish motor liability insurance market
An accurate estimation of extreme claims is fundamental to assess solvency capital requirements (SCR) established by Solvency II. Basing on the Extreme Value Theory (EVT), this paper performs a parametric estimation to fit the motor liability insurance historical datasets of two significant and repr...
Gorde:
| Argitaratua izan da: | INNOVAR. Revista de Ciencias Administrativas y Sociales |
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| Egile Nagusiak: | , |
| Formatua: | Artigo |
| Hizkuntza: | Espanhol |
| Argitaratua: |
Universidad Nacional de Colombia
2010
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| Gaiak: | |
| Sarrera elektronikoa: | https://www.redalyc.org/articulo.oa?id=81819028004 |
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