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Property insurance loss distributions

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Author Info

  • Krzysztof Burnecki
  • Grzegorz Kukla
  • Rafal Weron

Abstract

Property Claim Services (PCS) provides indices for losses resulting from catastrophic events in the US. In this paper we study these indices and take a closer look at distributions underlying insurance claims. Surprisingly, the lognormal distribution seems to give a better fit than the Paretian one. Moreover, lagged autocorrelation study reveals a mean-reverting structure of indices returns.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_03.pdf
File Function: Final draft, 2000
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Bibliographic Info

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/00/03.

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Length: 13 pages
Date of creation: 2000
Date of revision:
Publication status: Published in Physica A 287 (2000) 269-278.
Handle: RePEc:wuu:wpaper:hsc0003

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Keywords: Econophysics; Property insurance; Loss distribution; PCS index;

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References

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  1. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
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Citations

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Cited by:
  1. Krzysztof Burnecki & Joanna Janczura & Rafal Weron, 2010. "Building Loss Models," HSC Research Reports HSC/10/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, EconWPA.
  3. 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).
  4. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
  5. Haerdle, Wolfgang & Cabrera, Brenda Lopez, 2007. "Calibrating CAT bonds for Mexican earthquakes," 101st Seminar, July 5-6, 2007, Berlin Germany 9265, European Association of Agricultural Economists.
  6. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  7. Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R., 2009. "The valuation of contingent capital with catastrophe risks," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 65-73, August.
  8. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron, 2006. "Modelling catastrophe claims with left-truncated severity distributions," Computational Statistics, Springer, vol. 21(3), pages 537-555, December.
  9. Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005. "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper 10423, University Library of Munich, Germany.
  10. Gatzert, Nadine & Kellner, Ralf, 2011. "The influence of non-linear dependencies on the basis risk of industry loss warranties," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 132-144, July.

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