Prediction intervals for future Pareto record claims
Christina Empacher,
Udo Kamps,
Anja Bettina Schmiedt
Abstract:Stochastic models and methods for quantifying extreme events are of interest in numerous disciplines. Within this paper, statistical prediction of extreme claims or losses in insurance industry is considered based on upper record values, which describe successively largest observations in a sequence of data over time. The problem of predicting a future record value (here in particular, a future record claim) based on a sequence of previously observed record values (here, past record claims) is addressed by mea… Show more
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