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Modeling the risk process in the XploRe computing environment

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Author Info

  • Krzysztof Burnecki

    (Hugo Steinhaus Center)

  • Rafal Weron

    (Hugo Steinhaus Center)

Abstract

A 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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File URL: http://128.118.178.162/eps/ri/papers/0502/0502001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Risk and Insurance with number 0502001.

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Length: 8 pages
Date of creation: 07 Feb 2005
Date of revision:
Handle: RePEc:wpa:wuwpri:0502001

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://128.118.178.162

Related research

Keywords: Risk process; Monte Carlo simulation; XploRe computing environment;

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References

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  1. Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
    • Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004. "Simulation of risk processes," Papers 2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  2. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
  3. 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.
  4. 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.
  5. 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.
  6. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
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