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Property insurance loss distributions

  • Krzysztof Burnecki
  • Grzegorz Kukla
  • Rafal Weron

Property Claim Services (PCS) provides indices for losses resulting from catastrophic events in the US. In this paper we study these indices and take a closer look at distributions underlying insurance claims. Surprisingly, the lognormal distribution seems to give a better fit than the Paretian one. Moreover, lagged autocorrelation study reveals a mean-reverting structure of indices returns.

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Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/00/03.

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Length: 13 pages
Date of creation: 2000
Date of revision:
Publication status: Published in Physica A 287 (2000) 269-278.
Handle: RePEc:wuu:wpaper:hsc0003
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  1. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
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