Extreme value techniques. Part I - pricing high-excess property and casualty layers

Document description

We show how modem extreme value theory concepts for the estimation of longtailed loss severity distributions and simulation approaches to parameter uncertainty and aggregate loss calculations can be used to create a family of new multiline, multiyear risk transfer products for the Fortune 500 group of large industrial companies. Swiss Re’s recently launched 'Beta' high-excess property and liability coverage for the Oil & Petrochemicals industry is presented as an example for a successful application of this methodology.