FFT, Extreme Value Theory and Simulation to Model Non-Life Insurance Claims Dependences

Rocco Roberto Cerchiara ()
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Rocco Roberto Cerchiara: University of Calabria

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 61-65 from Springer

Abstract: Abstract This paper shows an example of integrated use of three different approaches (Extreme Value Theory (EVT), two-dimensional Fast Fourier Transform (FFT) and Monte Carlo simulation) to model non-life insurance company aggregate losses, taking into account the need for Internal Risk Model development in the light of Solvency II European project. In particular EVT permits the definition of the truncation point between small and large claims. Two-dimensional FFT is used to model not only aggregate losses, but dependence between its basic components too. Finally, Monte Carlo simulation describes large claims behaviour. Collective Risk Model has been developed using Matlab software.

Keywords: Non-life insurance; Aggregate losses; Risk theory; Two-dimensional fast Fourier transform; Extreme value theory; Simulation (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_8

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DOI: 10.1007/978-88-470-0704-8_8

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