66 citations · 132 across the 16 of their papers we have counts for
19 papers
Statistics of Extremes for the Insurance Industry
Hansjoerg Albrecher, Jan Beirlant
We provide a survey of how techniques developed for the modelling of extremes naturally matter in insurance, and how they need to and can be adapted for the insurance applications.…
A new class of copula regression models for modelling multivariate heavy-tailed data
Zhengxiao Li, Jan Beirlant, Liang Yang
A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamm…
Trimmed extreme value estimators for censored heavy-tailed data
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance obser…
Tempered Pareto-type modelling using Weibull distributions
Jose Carlos Araujo Acuna, Hansjoerg Albrecher, Jan Beirlant
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are…
Generalizing the log-Moyal distribution and regression models for heavy tailed loss data
Zhengxiao Li, Jan Beirlant, Shengwang Meng
Catastrophic loss data are known to be heavy-tailed. Practitioners then need models that are able to capture both tail and modal parts of claim data. To this purpose, a new paramet…
Center-outward quantiles and the measurement of multivariate risk
Jan Beirlant, Sven Buitendag, Eustasio del Bario +1
All multivariate extensions of the univariate theory of risk measurement run into the same fundamental problem of the absence, in dimension d > 1, of a canonical ordering of Rd. Ba…