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Name: Armelle Guillou

Talk Title: Extreme value estimation of the conditional risk premium in reinsurance

Abstract: In the talk, we study the estimation of reinsurance premiums when the claim size is observed together with additional information in the form of random covariates. Using extreme value arguments, we propose an estimator for the risk premium conditional on a value for the covariate, and derive its asymptotic properties, after suitable normalization. The finite sample behavior is evaluated with a simulation experiment, and we apply the methodology to a dataset of automobile insurance claims from Australia. 

This is a joint work with Yuri Goegebeur and Jing Qin from University of Southern Denmark.

This talk is a contributed talk at EVA 2021.