October 2014
Intermediate to advanced
584 pages
22h 2m
English
Content preview from Pricing in General Insurance
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236 Pricing in General Insurance
16.5.1 Advantages of Using Market Data for Tail Modelling
• Using large market data sets moves the pricing horizon upwards, in the sense that
it is possible to model the probability of larger losses and to price layers of reinsur-
ance well beyond the client’s experience
• It provides a benchmarking opportunity – the severity curve for one risk (or one
client) may be compared with that of a portfolio of risks or the whole market.
• For some classes of business, the tail behaviour can actually be proved not to be client-
specic: for example, it may be possible to prove that, say, above £2M, the severity
distr ...
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