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Discussion of the Danish Data on Large Fire Insurance Losses

Published online by Cambridge University Press:  29 August 2014

Sidney I. Resnick
Sidney I. Resnick*
Affiliation:
Cornell University
*
Cornell University, School of Operations Research and Industrial Engineering, Rhodes Hall 223, Ithaca, NY 14853, USA E-mail: sid@orie.cornell.edu
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Abstract

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Alexander McNeil's (1996) study of the Danish data on large fire insurance losses provides an excellent example of the use of extreme value theory in an important application context. We point out how several alternate statistical techniques and plotting devices can buttress McNeil's conclusions and provide flexible tools for other studies.

Keywords

Heavy tailsregular variationHill estimatorPoisson processeslinear programmingparameter estimation weak convergenceconsistencyestimationindependenceautocorrelations
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 1 , May 1997 , pp. 139 - 151
Copyright
Copyright © International Actuarial Association 1997

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