Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator
(2024)
Journal Article
Mozumder, S., Hassan, M. K., Sorwar, G., & Pérez Amuedo, J. A. (in press). Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator. Communications in Statistics - Theory and Methods, 1-26. https://doi.org/10.1080/03610926.2024.2323634
In this study, we model aggregate claims using a subordinator, specifically a non-decreasing Lévy process. Large positive jumps, exceeding a predetermined threshold, represent significant claims, while frequent but smaller fluctuations capture other... Read More about Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator.