Estimation of distortion risk premiums in reinsurance under random right-censoring

This paper focuses on the estimation of distortion risk premiums for large reinsurance claims in the context of random right-censoring. We build an asymptotically normal estimator which is based on censored observations for Pareto-type distributions which represent heavy-tailed risks. The method combines semi-parametric extremes with extreme value theory to yield coherent premium estimates under the most challenging claim data scenarios. The provided simulations in conjunction with comprehensive censoring contexts and variances in tail heaviness illustrates the estimator's robustness and outperformance. Empirical assessment using Norwegian fire claims together with cybersecurity breach datasets adds to the proven value of the methodology. This work presents a robust approach to the estimation of risk at extreme values under censoring that directly impacts excess-of-loss reinsurance contracts and the solvency capital requirements defined by the risk decisions made by actuaries and managerial stakeholders.

Authors

Institutions

Publication Details

Journal
Hacettepe Journal of Mathematics and Statistics
Published
2025-08-25
DOI
https://doi.org/10.15672/hujms.1608715
Primary Topic
Insurance and Financial Risk Management
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Estimation of distortion risk premiums in reinsurance under random right-censoring

Jihane Abdelli, Brahimi Brahim
Hacettepe Journal of Mathematics and Statistics
Insurance and Financial Risk Management
article

Estimation of distortion risk premiums in reinsurance under random right-censoring

Jihane Abdelli, Brahimi Brahim
article en

Abstract

This paper focuses on the estimation of distortion risk premiums for large reinsurance claims in the context of random right-censoring. We build an asymptotically normal estimator which is based on censored observations for Pareto-type distributions which represent heavy-tailed risks. The method combines semi-parametric extremes with extreme value theory to yield coherent premium estimates under the most challenging claim data scenarios. The provided simulations in conjunction with comprehensive censoring contexts and variances in tail heaviness illustrates the estimator's robustness and outperformance. Empirical assessment using Norwegian fire claims together with cybersecurity breach datasets adds to the proven value of the methodology. This work presents a robust approach to the estimation of risk at extreme values under censoring that directly impacts excess-of-loss reinsurance contracts and the solvency capital requirements defined by the risk decisions made by actuaries and managerial stakeholders.

Hacettepe Journal of Mathematics and StatisticsVol. 54(4)
University of Biskra (DZ), Ider University (MN)
Openalex Percentile: Top 70%
Insurance and Financial Risk Management
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.

Estimation of distortion risk premiums in reinsurance under random right-censoring — Jihane Abdelli, Brahimi Brahim · Hacettepe Journal of Mathematics and Statistics (2025) | TGRS Research Map | TGRS