Modelling catastrophe claims with left-truncated severity distributions (extended version)
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- Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005. "Modeling catastrophe claims with left-truncated severity distributions (extended version)," HSC Research Reports HSC/05/01, Hugo Steinhaus Center, Wroclaw University of Technology.
References listed on IDEAS
- 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, June.
- 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," Papers 2004,01, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
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- Rafal Weron, 2005. "Heavy tails and electricity prices," HSC Research Reports HSC/05/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Nowak, Piotr & Romaniuk, Maciej, 2013. "Pricing and simulations of catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 18-28.
More about this item
KeywordsNatural Catastrophe; Property Insurance; Loss Distribution; Truncated Data; Ruin Probability;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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