72: Parameter Estimates, Copula Tail Dependence and Large Claim Reinsurance

Actuarial Specialties: (N) (E)

The Pretorius paper addresses model parameter estimation using an example of improving property reinsurance pricing of earthquake losses. The Pettere paper addresses the tail dependence property of a copula using as an example the impact of large loss X enlarging the probability that loss Y will also be large. The Gacovska paper examines the impact of reinsuring the k-th largest claim, or the aggregate amount of the k largest claims, in a portfolio.

Moderator: Enrique de Alba
Wednesday, April 2, 2014
2:00 p.m. - 3:30 p.m.