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
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.:
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar Publishing.
- Krzysztof Burnecki & Grzegorz Kukla & Rafal Weron, 2000.
"Property insurance loss distributions,"
HSC Research Reports
HSC/00/03, 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.
- 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.
- 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.
- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
- 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.
- Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004.
"Simulation of risk processes,"
2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Marco Bee, 2005. "On maximum likelihood estimation of operational loss distributions," Department of Economics Working Papers 0503, Department of Economics, University of Trento, Italia.
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA.
- 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.
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 references are entirely missing, you can add them using this form.