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  • Photo du rédacteurHélène Dufour

Modelling of Large Fire Insurance Claims: An Extreme Value Theory Approach

This research develops a mathematical model using Extreme Value Theory and Risk Measures to estimate and forecast major fire insurance claims, enhancing insurers' understanding of potential risks. Utilizing a three-parameter Generalized Pareto Distribution in the Extreme Value Theory framework, the study effectively models large losses, aiding in risk management and pricing strategies for insurance firms.

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