Estimating a tail of the mixture of log-normal and inverse Gaussian distribution

Jelena Kočović, Vesna Ćojbašić Rajić and Milan Jovanović

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 1, 49-58

Abstract: In this paper, we estimate a tail of the mixture of log-normal and inverse Gaussian distribution in order to model extreme historical losses. Good estimate of the tail is essential in reinsurance for choosing or pricing high-excess layer. Method is supported by extreme value theory. We derive useful estimates of value-at-risk and expected shortfall. We apply this methodology to some fire insurance data.

Date: 2015
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DOI: 10.1080/03461238.2013.775665

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