Benha University

Mohamed Sewalim El-sayed Hamed

Lecturer

Faculty of Commerce Statistics,Math & Insurances

A Novel Insurance Claims (Revenues) Xgamma Extension: Distributional Risk Analysis Utilizing Left-Skewed Insurance Claims and Right-Skewed Reinsurance Revenues Data with Financial PORT-VaR Analysis

Pakistan Journal of Statistics and Operation Research (PJSOR) • 2025
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Publication Information
Authors Mohamed S. Hamed, et.al
Keywords Cullen-Frey plot; Maximum Product Spacing; Financial Peaks; Mean Excess Loss Function; Risk exposure; Risk indicators; Value-at-risk; Peak Over Random Threshold; XGamma model
Journal Pakistan Journal of Statistics and Operation Research (PJSOR)
Publisher College of Statistical and Actuarial Sciences, University of the Punjab, Lahore, Pakistan 54590 Lahore, PK
Volume 21
Issue 2
Pages 83-117
publication.type International
Paper Link Open Link
Supplementary Materials Not Available
Abstract
The continuous probability distributions can be successfully utilized to characterize and evaluate the risk exposure
in applied actuarial analysis. Actuaries often prefer to convey the level of exposure to a certain hazard using merely
a numerical value, or at the very least, a small number of numbers. In this paper, a new applied probability model
was presented and used to model six different sets of data. About estimating the risks that insurance companies are
exposed to and the revenues of the reinsurance process, we have analyzed and studied data on insurance claims and
data on reinsurance revenues as an actuarial example. These actuarial risk exposure functions, sometimes referred
to as main risk actuarial indicators, are unquestionably a result of a particular model that can be explained. Five
crucial actuarial indicators are used in this study to identify the risk exposure in insurance claims and reinsurance
revenues. The parameters are estimated using techniques like the maximum product spacing, maximum-likelihood,
and least square estimation. Monte Carlo simulation research is conducted under a specific set of conditions and
controls. Additionally, five actuarial risk indicators including the value-at-risk, tail-variance, tail value-at-risk, tail
mean-variance, and mean of the excess loss function, were utilized to explain the risk exposure in the context of
data on insurance claims and reinsurance revenue. The peak over a random threshold value-at-risk (PORT-VaR)
approach and value-at-risk estimate are taken into account and contrasted for detecting the extreme financial
insurance peaks.
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