Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?

By Martin Eling. 2012

176 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e37477a20e9571788972b0b327da7a0dc1c2521f

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Citations in the corpus

Skewed distributions in finance and actuarial science: a review (2015, methodology): “The skew-normal distribution and its extensions have been used recently in studies on risk management, capital allocation, and goodness-of-fit (Vernic 2006; Bolance et al. 2008; Eling 2012).”
The Heavy-Tailed Exponential Distribution: Risk Measures, Estimation, and Application to Actuarial Data (2020, background): “The interested reader can refer to Eling [11], Kazemi and Noorizadeh [12], Bakar et al.”
fitdistrplus: An R Package for Fitting Distributions (2015, methodology): “…et al., 2013), for graphic analysing in (Anand et al., 2012), for grouped-data ﬁtting methods (Fu et al., 2012) or more generally (Busschaert et al., 2010; Eling, 2012; Samuel-Rosa et al., 2013; Srinivasan et al., 2013; Meyer et al., 2013; Guillier et al., 2013; Daelman et al., 2013; Eik et…”
Modeling Severity and Measuring Tail Risk of Norwegian Fire Claims (2016, methodology): “Prominent examples of this approach are skew-normal and skew-t models (see Eling, 2012) and log-phase-type distributions (see Ahn, Kim, and Ramaswami, 2012).”
Modeling loss data using composite models (2015, methodology): “Eling (2012) fitted the skew-normal and skew-t distributions to the data while Bernardi et al. (2012) analyzed the data using a Bayesian approach.”
Skew mixture models for loss distributions: a Bayesian approach (2012, methodology): “We compare our VaR estimates with those obtained by Eling (2012) under several (single-component) models.”
Insurability of Cyber Risk: An Empirical Analysis (2014, methodology): “67 See Gatzlaff and McCullough (2012). 68 See also Wojcik (2012). 69 The interviewed insurers’ response to this problem is to offer a modular product structure where coverage is chosen by the customer; the intensity of the risk assessment then depends on the coverage chosen.”