Modelling catastrophe claims with left-truncated severity distributions (extended version)
AbstractIn this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a non-homogeneous Poisson process with a sinusoidal intensity rate function. The choice of an adequate loss distribution is conducted via the in-sample goodness-of-fit procedures and forecasting, using classical and robust methodologies. This is an extended version of the article: Chernobai et al. (2006) Modelling catastrophe claims with left-truncated severity distributions, Computational Statistics 21(3-4): 537-555.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10423.
Date of creation: 2005
Date of revision:
Natural Catastrophe; Property Insurance; Loss Distribution; Truncated Data; Ruin Probability;
Other versions of this item:
- Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005. "Modeling catastrophe claims with left-truncated severity distributions (extended version)," HSC Research Reports HSC/05/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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