Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Modeling catastrophic deaths using EVT with a microsimulation approach
  to reinsurance pricing   Recently, a marked Poisson process (MPP) model for life catastrophe risk was
proposed in [6]. We provide a justification and further support for the model
by considering more general Poisson point processes in the context of extreme
value theory (EVT), and basing the choice of model on statistical tests and
model comparisons. A case study examining accidental deaths in the Finnish
population is provided.
  We further extend the applicability of the catastrophe risk model by
considering small and big accidents separately; the resulting combined MPP
model can flexibly capture the whole range of accidental death counts. Using
the proposed model, we present a simulation framework for pricing (life)
catastrophe reinsurance, based on modeling the underlying policies at
individual contract level. The accidents are first simulated at population
level, and their effect on a specific insurance company is then determined by
explicitly simulating the resulting insured deaths. The proposed
microsimulation approach can potentially lead to more accurate results than the
traditional methods, and to a better view of risk, as it can make use of all
the information available to the re/insurer and can explicitly accommodate even
complex re/insurance terms and product features. As an example we price several
excess reinsurance contracts. The proposed simulation model is also suitable
for solvency assessment.

10
The categories of this paper are: q-bio
5
The categories of this paper are: gr-qc
24
The categories of this paper are: dg-ga
26
The categories of this paper are: bayes-an
28
The categories of this paper are: alg-geom
9
The categories of this paper are: nlin
13
The categories of this paper are: quant-ph
35
The categories of this paper are: mtrl-th
4
The categories of this paper are: cond-mat
2
The categories of this paper are: math
36
The categories of this paper are: cmp-lg
12
The categories of this paper are: nucl-th
20
The categories of this paper are: acc-phys
14
The categories of this paper are: math-ph
1
The categories of this paper are: cs
3
The categories of this paper are: physics