IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpri/0502001.html
   My bibliography  Save this paper

Modeling the risk process in the XploRe computing environment

Author

Listed:
  • Krzysztof Burnecki

    (Hugo Steinhaus Center)

  • Rafal Weron

    (Hugo Steinhaus Center)

Abstract

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish fire losses for the years 1980-90 is conducted and the best fitting of the risk process to the data is illustrated.

Suggested Citation

  • Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpri:0502001
    Note: Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 868-875
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/ri/papers/0502/0502001.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. 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.
    2. 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).
    3. 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.
    4. 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.
    5. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
    6. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rocco Roberto Cerchiara & Francesco Acri, 2020. "Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data," Risks, MDPI, Open Access Journal, vol. 8(3), pages 1-19, July.
    2. Rocco Roberto Cerchiara & Francesco Acri, 2016. "Aggregate Loss Distribution And Dependence: Composite Models, Copula Functions And Fast Fourier Transform For The Danish Re Insurance Data," Working Papers 201608, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    3. Li, Yaohan & Dong, You & Qian, Jing, 2020. "Higher-order analysis of probabilistic long-term loss under nonstationary hazards," Reliability Engineering and System Safety, Elsevier, vol. 203(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. 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).
    3. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
    4. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
    5. 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.
    6. Wolfgang Karl Härdle & Brenda López Cabrera, 2010. "Calibrating CAT Bonds for Mexican Earthquakes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 625-650, September.
    7. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
    8. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
    9. Ma, Zong-Gang & Ma, Chao-Qun, 2013. "Pricing catastrophe risk bonds: A mixed approximation method," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 243-254.
    10. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    11. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
    12. Wylomanska-, Agnieszka, 2010. "Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution," MPRA Paper 28535, University Library of Munich, Germany, revised 2010.
    13. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2012. "Skew mixture models for loss distributions: A Bayesian approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 617-623.
    14. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
    15. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, University Library of Munich, Germany.
    16. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    17. Burnecki, Krzysztof & Gajda, Janusz & Sikora, Grzegorz, 2011. "Stability and lack of memory of the returns of the Hang Seng index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(18), pages 3136-3146.
    18. Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka, 2011. "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4379-4387.
    19. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, Fall.
    20. Makoto Maejima & Gennady Samorodnitsky, 1999. "Certain Probabilistic Aspects of Semistable Laws," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 449-462, September.

    More about this item

    Keywords

    Risk process; Monte Carlo simulation; XploRe computing environment;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpri:0502001. 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: . General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.