“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004
“Optimal Dividends: Analysis with Brownian Motion,” Ana C. Cebrián, Hans U. Gerber and Elias S.W. Shiu, January 2004
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DOI：
10.1080/10920277.2004.10596142
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发表时间：
2004-04
期刊：
影响因子：
--
通讯作者：
H. Albrecher
中科院分区：
文献类型：
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作者：
H. Albrecher
结论极值理论证明了经典GPD模型的单参数扩展超过高阈值。新的模型给出了一个准确的近似的真实过剩分布的低得多的阈值比GPD的能力。对于SOA的大型索赔数据库，该模型提供了对大型索赔的完整数据集的充分描述。
CONCLUSIONExtreme-value theory justifies a one-parameter extension of the classical GPD model for excesses over a high threshold. The new model gives an accurate approximation of the true excess distribution for much lower thresholds than the GPD is capable of. For the SOA’s Large Claims Database, the model provides an adequate description of the complete data set of large claims.