Chapter 6
Reinsurance and Extremal Events
Eric Gilleland
Research Application Laboratory, National Center for Atmospheric Research Boulder, Colorado, USA
Mathieu Ribatet
Department of Mathematics, University of Montpellier Montpellier, France
6.1 Introduction
In risk analysis and especially for insurance applications, it is important to anticipate the losses that a given company might face in the near future. From a statistical point of view, the observed losses are assumed to be independent realizations from a non-negative random variable X whose distribution function is F.
In this chapter we will focus only on the largest losses, that is, the ones impacting the company's solvency. That is, we restrict our attention to the (right) tail of
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