@article{ART001773861},
author={Jae Hoon Jho and 이근창},
title={Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2013},
volume={24},
number={2},
pages={71-98}
TY - JOUR
AU - Jae Hoon Jho
AU - 이근창
TI - Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications
JO - Journal of Insurance and Finance
PY - 2013
VL - 24
IS - 2
PB - Korea Insurance Research Institute
SP - 71
EP - 98
SN - 2384-3209
AB - In this paper, we introduce a practical method of estimating the threshold over which a heavy-tailed distribution is approximated asymptotically for the underlying distribution of extreme events. We introduce a mixture model of a loss distribution of a certain parametric form below a threshold and a heavy-tailed distribution above the threshold. The number of exceedances over a threshold are considered a random variable for a prior distribution in the Bayesian framework in order to estimate the threshold and corresponding extreme value index.
A numerical example is given to illustrate the Bayesian estimation of the parameters by applying the mixture model to losses in medical insurance policies in Korea. About a 10.5% extra charge over traditionally calculated premiums seems necessary to hedge the risk embedded in the heavy-tailed loss distribution.
KW - Bayesian estimation;distribution;extreme value distributions;extreme value theory;generalized Pareto mixture distribution;Korean medical insurance;Metropolis-Hastings;threshold
DO -
UR -
ER -
Jae Hoon Jho and 이근창. (2013). Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications. Journal of Insurance and Finance, 24(2), 71-98.
Jae Hoon Jho and 이근창. 2013, "Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications", Journal of Insurance and Finance, vol.24, no.2 pp.71-98.
Jae Hoon Jho, 이근창 "Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications" Journal of Insurance and Finance 24.2 pp.71-98 (2013) : 71.
Jae Hoon Jho, 이근창. Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications. 2013; 24(2), 71-98.
Jae Hoon Jho and 이근창. "Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications" Journal of Insurance and Finance 24, no.2 (2013) : 71-98.
Jae Hoon Jho; 이근창. Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications. Journal of Insurance and Finance, 24(2), 71-98.
Jae Hoon Jho; 이근창. Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications. Journal of Insurance and Finance. 2013; 24(2) 71-98.
Jae Hoon Jho, 이근창. Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications. 2013; 24(2), 71-98.
Jae Hoon Jho and 이근창. "Bayesian Inference of a Mixture Model with Extreme Value Distributions in Korean Medical Insurance Applications" Journal of Insurance and Finance 24, no.2 (2013) : 71-98.
