WORKSHOP ON RISK ANALYSIS AND APPLICATIONS
24 and 25 of SEPTEMBER, 2025
Institute of Mathematics and, Statistics of the University of São Paulo, Brazil
SATELLITE WORKSHOP OF
8th BRAZILIAN CONFERENCE ON STATISTICAL MODELING IN INSURANCE AND FINANCE
WORKSHOP ON RISK ANALYSIS AND APPLICATIONS
24 and 25 of SEPTEMBER, 2025
Institute of Mathematics and, Statistics of the University of São Paulo, Brazil
SATELLITE WORKSHOP OF
8th BRAZILIAN CONFERENCE ON STATISTICAL MODELING IN INSURANCE AND FINANCE
Title: Risk Related to Tail Probabilities in a Credibility Framework
Here we introduce new risk measures related to tail probabilities in a credibility framework. More specifically, we show how risk measures related to tail probabilities can be embedded within credibility models.
Tail risk represents the loss that an insurance or financial portfolio will face in case of an occurring tail event. Tail events are events that occur with a very small probability, but at the same time with a very large impact if they occur. With the increasing probability of occurrence, the consideration of tail risk is more important than ever before. In today's insurance and financial markets situation tail events can occur, and sometimes with a higher probability than expected.