标题： 传统与参数保险的结合：基于适应于重尾损失的标准优化校准方法 显示英文标题

标题： Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses

摘要： 在本文中，我们考虑提供针对重尾损失的保险保障的问题，其中损失的期望甚至可能不为有限。 我们研究的产品是传统保险至某一限额的组合，以及针对更大损失的参数化（或基于指数）的保障。 该保障的第二部分是从索赔发生后可用的协变量计算得出的，从而通过即时补偿来降低索赔管理成本。 为了优化该产品第二部分的设计，我们使用了一个适用于极端损失的标准（即帕累托类型损失分布）。 我们通过理论结果支持校准过程，这些结果展示了其收敛速度，并通过一个模拟研究和对美国龙卷风的真实数据分析的实证结果加以支持。 我们通过实证证明，所提出的混合合同优于传统的封顶赔偿合同。 显示英文摘要

摘要： In this paper, we consider the question of providing insurance protection against heavy tail losses, where the expectation of the loss may not even be finite. The product we study is based on a combination of traditional insurance up to some limit, and a parametric (or index-based) cover for larger losses. This second part of the cover is computed from covariates available just after the claim, allowing to reduce the claim management costs via an instant compensation. To optimize the design of this second part of the product, we use a criterion which is adapted to extreme losses (that is distribution of the losses that are of Pareto type). We support the calibration procedure by theoretical results that show its convergence rate, and empirical results from a simulation study and a real data analysis on tornados in the US. We conclude our study by empirically demonstrating that the proposed hybrid contract outperforms a traditional capped indemnity contract.