Property insurance loss distributions
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.
|Date of creation:||2000|
|Date of revision:|
|Publication status:||Published in Physica A 287 (2000) 269-278.|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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- Rafal Weron & Beata Przybylowicz, 2000.
"Hurst analysis of electricity price dynamics,"
HSC Research Reports
HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- 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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