论文标题
使用挪威火灾保险数据在阈值建模中应用累积测试的应用
The application of accumulation tests in Peaks-Over-Threshold modeling with Norwegian Fire insurance Data
论文作者
论文摘要
对多余的建模仍然是保险数据建模中的重要主题。在对多余的替代方案中，具有广义帕累托分布（GPD）的阈值（POT）框架的峰值由于其灵活性而被认为是有效的方法。但是，选择适当的阈值是此类框架是一个主要困难。为了解决这种困难，我们应用了几项累积测试以及安德森 - 达拉林测试以确定最佳阈值。基于选定的阈值，可以找到带有估计分位数的拟合GPD。我们将程序应用于著名的挪威火灾保险数据，并为价值风险（VAR）构建了置信区间。与先前的图形方法相比，累积测试方法在建模挪威火灾保险数据的高分位数方面提供了令人满意的性能。
Modeling excess remains to be an important topic in insurance data modeling. Among the alternatives of modeling excess, the Peaks Over Threshold (POT) framework with Generalized Pareto distribution (GPD) is regarded as an efficient approach due to its flexibility. However, the selection of an appropriate threshold for such framework is a major difficulty. To address such difficulty, we applied several accumulation tests along with Anderson-Darling test to determine an optimal threshold. Based on the selected thresholds, the fitted GPD with the estimated quantiles can be found. We applied the procedure to the well-known Norwegian Fire Insurance data and constructed the confidence intervals for the Value-at-Risks (VaR). The accumulation test approach provides satisfactory performance in modeling the high quantiles of Norwegian Fire Insurance data compared to the previous graphical methods.
