Adjusting the generalized Pareto distribution with evolution strategies: an application to a Spanish motor liability insurance database

Authors:
María J. Pérez-Fructuoso;Almudena García;Antonio Berlanga;José M. Molina
Affiliations:
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid, Colmenarejo, Spain;Departamento de Economía de la Empresa, Universidad de Alcalá de Henares, Alcalá de Henares, Spain;Departamento de Informática, Universidad Carlos III de Madrid, Colmenarejo, Spain;Departamento de Informática, Universidad Carlos III de Madrid, Colmenarejo, Spain
Venue:
IDEAL'07 Proceedings of the 8th international conference on Intelligent data engineering and automated learning
Year:
2007

Citing 5
Cited 0

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Abstract

Management of extreme events is required of a special consideration, as well as a sufficiently wide time horizon for solvency evaluation. Whereas their classical adjustment is usually carried out with Extreme Value Theory (EVT)-based distributions (namely, the Generalized Pareto Distribution), Evolutionary Techniques have been tried herein to fit the GPD parameters as an optimisation problem. The comparison between classical and evolutionary techniques highlights the accuracy of the evolutionary process. Data adjusted in this paper come from a Spanish motor liability insurance portfolio.