evmix is an R package (R Core Team 2017) with two interlinked toolsets: i) for extreme value
modeling and ii) kernel density estimation. A key issue in univariate extreme value modeling …

Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss
reserving. Classical approaches like the Chain Ladder method rely on aggregating the …

A plethora of univariate extreme value mixture models have been developed, which
combine a classic tail model with a component to describe the bulk of the distribution. The …

Micro-level Prediction of Outstanding Claim Counts using Neural Networks Page 1 Micro-level
Prediction of Outstanding Claim Counts using Neural Networks Axel Bücher, Alexander …

Résumé Le présent article s' intéresse aux méthodologies de calcul de quantiles extrêmes
dans le cadre de Solvabilité II. Nous développons des méthodes basées sur la théorie des …