Modeling the risk process in the XploRe computing environment
AbstractA user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish ﬁre losses for the years 1980-90 is conducted and the best fitting of the risk process to the data is illustrated.
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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0502001.
Length: 8 pages
Date of creation: 07 Feb 2005
Date of revision:
Note: Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 868-875
Contact details of provider:
Web page: http://126.96.36.199
Risk process; Monte Carlo simulation; XploRe computing environment;
Other versions of this item:
- Weron, Rafał & Burnecki, Krzysztof, 2004. "Modeling the risk process in the XploRe computing environment," Papers 2004,08, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-CMP-2005-04-16 (Computational Economics)
- NEP-FIN-2005-04-16 (Finance)
- NEP-RMG-2005-04-16 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Simulation of risk processes,"
2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000.
"Property insurance loss distributions,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 287(1), pages 269-278.
- Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron, 2003. "An introduction to simulation of risk processes," HSC Research Reports HSC/03/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
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