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Document Details :
Title: Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory
Author(s): MCNEIL, A.J.
Journal: ASTIN Bulletin
Volume: 27 Issue: 1 Date: May 1997
Good estimates for the tails of loss severity distributions are essential for pricing or positioning high-excess loss layers m reinsurance We describe parametric curve-fitting methods for modelling extreme historical losses These methods revolve around the generalized Pareto distribution and are supported by extreme value theory. We summarize relevant theoretical results and provide an extensive example of their application to Danish data on large fire insurance losses.