Extreme value techniques. Part III - increased limits factors (ILF) pricing

Document description

In order to further simplify the 'Beta' pricing approach (described in Extreme Value Techniques - Part I and Part II), an alternative to existing increased limits factors (ILF) rating methodologies (see e.g., Loss Distributions, R. V. Hogg and S. A. Klugman, Wiley 1984) is developed in this short note, together with a corresponding pricing tool, the main objective being to make such a new ILF tool consistent with the 'Beta' extreme value theory approach to risk quantification while maintaining much of the simplicity of the existing ILF methodologies. The Oil & Petrochemicals industry is used as an example.