Advances and Applications in Statistics
Volume 48, Issue 2, Pages 91 - 108
(February 2016) http://dx.doi.org/10.17654/AS048020091 |
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AN APPLICATION OF EXTREME VALUE THEORY IN AUTOMOBILE INSURANCE: A NEW APPROACH TO THE CONVEX COMBINATION OF TWO VARIABLES THRESHOLDS MINIMIZING THE VARIANCE OF THIS COMBINATION
Yingmei Xu, Diawara Daouda and Kané Ladji
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Abstract: In the literature, many determinists approaches (numerical and graphical methods), probabilists (the probability law, extreme value theory, Bayesian methods) exist for the detection of grave sinister. In this article, we have made a brief reminder of main results of the theory of extreme values. These results are applied to the simulated data of a Malian insurance company. We conclude with a contribution of the convex combination method of two threshold variables minimizing the variance is proposed. |
Keywords and phrases: auto insurance, claims management, threshold convex combination of two variables thresholds. |
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