| Article ID: | iaor1993564 |
| Country: | Netherlands |
| Volume: | 11 |
| Start Page Number: | 19 |
| End Page Number: | 44 |
| Publication Date: | Apr 1992 |
| Journal: | Insurance: Mathematics and Economics |
| Authors: | Beirlant Jan, Teugels T. |
| Keywords: | statistics: distributions |
This paper wants to give an overview of relevant distributional models and diagnostics to model large claims or outliers in an insurance setting. The specific behaviour of portfolio items such as total claim amount and ruin probabilities, and the problem of reinsurance in the presence of large claims, are elucidated. The existing practical tools are outlined and illustrated with some practical examples.