Modelling catastrophe claims with left-truncated severity distributions (extended version)
In 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.
|Date of creation:||2005|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
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.:
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- 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, December.
- Chernobai, Anna & Menn, Christian & Rachev, Svetlozar T. & Trück, Stefan, 2010. "Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study," Working Paper Series in Economics 4, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
- Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004.
"Simulation of risk processes,"
2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
- 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.
- 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 & Grzegorz Kukla & Rafal Weron, 2000. "Property insurance loss distributions," HSC Research Reports HSC/00/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
- Knez, Peter J & Ready, Mark J, 1997. " On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-1382, September.
- Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA.
- Marco Bee, 2005. "On maximum likelihood estimation of operational loss distributions," Department of Economics Working Papers 0503, Department of Economics, University of Trento, Italia.
- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:10423. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.