New Data from R. Aviv et al Illuminate Findings in Actuarial Science (An Extreme-value Theory Approximation Scheme In Reinsurance and Insurance-linked Securities)

2019 MAY 23 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators discuss new findings in Science - Actuarial Science. According to news originating from Tel Aviv, Israel, by NewsRx editors, the research stated, “We establish a ‘top-down’ approximation scheme to approximate loss distributions of reinsurance products and Insurance-Linked Securities based on three input parameters, namely the Attachment Probability, Expected Loss and Exhaustion Probability. Our method is rigorously derived by utilizing a classical result from Extreme-Value Theory, the Pickands-Balkema-de Haan theorem.”

Our news journalists obtained a quote from the research, “The robustness of the scheme is demonstrated by proving sharp error-bounds for the approximated curves with respect to the supremum and L-2 norms. The practical implications of our findings are examined by applying it to Industry Loss Warranties: the method performs very accurately for each transaction.”

According to the news editors, the research concluded: “Our approach can be used in a variety of applications such as vendor model blending, portfolio optimization and premium calculation.”

For more information on this research see: An Extreme-value Theory Approximation Scheme In Reinsurance and Insurance-linked Securities. Astin Bulletin, 2018;48(3):1157-1173. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

The news correspondents report that additional information may be obtained from R. Aviv, Ibi Ils Partners Ltd., Shalom Tower, 9 Ahad HaAm St, 28TH Floor, Il-6129101 Tel Aviv, Israel.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1017/asb.2018.10. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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