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Stochastic Excess-of-Loss Pricing within a Financial Framework

Stochastic Excess-of-Loss Pricing within a Financial Framework. CAS 2005 Reinsurance Seminar Doris Schirmacher Ernesto Schirmacher Neeza Thandi. Agenda. Extreme Value Theory Central Limit Theorem Two Extreme Value Theorems Peaks Over Threshold Method Application to Reinsurance Pricing

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Stochastic Excess-of-Loss Pricing within a Financial Framework