Building Loss Models
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the severity (or size) of loss resulting from the occurrence of a claim. In this paper we first present efficient simulation algorithms for several classes of claim arrival processes. Then we review a collection of loss distributions and present methods that can be used to assess the goodness-of-fit of the claim size distribution. The collective risk model is often used in health insurance and in general insurance, whenever the main risk components are the number of insurance claims and the amount of the claims. It can also be used for modeling other non-insurance product risks, such as credit and operational risk.
|Date of creation:||Sep 2010|
|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.:
- 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.
- Tse,Yiu-Kuen, 2009. "Nonlife Actuarial Models," Cambridge Books, Cambridge University Press, number 9780521764650, December.
- Christian Basteck & Tijmen R. DaniÃ«ls & Frank Heinemann, 2010.
"Characterising Equilibrium Selection in Global Games with Strategic Complementarities,"
SFB 649 Discussion Papers
SFB649DP2010-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Basteck, Christian & Daniëls, Tijmen R. & Heinemann, Frank, 2013. "Characterising equilibrium selection in global games with strategic complementarities," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2620-2637.
- Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015.
"Uniform Confidence Bands for Pricing Kernels,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 13(2), pages 376-413.
- Juliane Scheffel, 2010. "Honey, Iâ€™ll Be Working Late Tonight. The Effect of Individual Work Routines on Leisure Time Synchronization of Couples," SFB 649 Discussion Papers SFB649DP2010-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Puriya Abbassi & Dieter Nautz, 2010. "Monetary Transmission Right from the Start: The (Dis)Connection Between the Money Market and the ECBâ€™s Main Refinancing Rates," SFB 649 Discussion Papers SFB649DP2010-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nikolaus Hautsch & Fuyu Yang, 2010.
"Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model,"
SFB 649 Discussion Papers
SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
- Dorothee Schneider, 2010. "The Impact of ICT Investments on the Relative Demand for High-, Medium-, and Low-Skilled Workers: Industry versus Country Analysis," SFB 649 Discussion Papers SFB649DP2010-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004.
"Simulation of risk processes,"
2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- Wolfgang Karl HÃ¤rdle & Ostap Okhrin & Yarema Okhrin, 2010. "Time varying Hierarchical Archimedean Copulae," SFB 649 Discussion Papers SFB649DP2010-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Wolfgang Karl HÃ¤rdle & Yuichi Mori & JÃ¼rgen Symanzik, 2012. "Computational Statistics (Journal)," SFB 649 Discussion Papers SFB649DP2012-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hormann, W., 1993. "The transformed rejection method for generating Poisson random variables," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 39-45, February.
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- Erik R. Fasten & Dirk Hofmann, 2010. "Two-sided Certification: The market for Rating Agencies," SFB 649 Discussion Papers SFB649DP2010-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fasten, Erik R. & Hofmann, Dirk, 2010. "Two-sided Certification: The market for Rating Agencies," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 338, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
- 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.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:25492. 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.