In this paper, we investigate the use of a new kind of the so-called Pareto composite (PC) model, for estimating the proportional hazard reinsurance premium, when extreme natural disasters costs are considered. The PC models allow more flexibility over the thickness of the tail. The parameters estimation problem is considered in different points of views. We study the adequacy of these models, using a Monte-Carlo procedure first, and thereafter propose an application to natural catastrophes (Nat-CAT) reinsurance premium relating to a real dataset.
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Abdelkader Ameraoui (2024) studied this question.
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