In this paper, we deal with the problem of taking account of large claims in rate making procedure. Both Generalised Linear Models and Extreme Value Theory are applied in order to build a model to evaluate the fair premiums in a tariff system. A numerical application concerning motor insurance is developed.
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Sigalotti Luciano
Curriculum
Born in 1947.
Professor of Actuarial Statistics for the students of Actuarial Science in the University of Trieste, Italy.
Professor of Mathematics for Economists in the University of Udine, Italy.
Member of Italian Institute of Actuaries and of the Scientific Commitee of the Giornale dell'Istituto Italiano degli Attuari.
Member of the Italian Professional Order of Actuaries.
