The Swiss Re Exposure Curves and the MBBEFD Distribution Class1

Stefan Bernegger

ASTIN Bulletin, 1997, vol. 27, issue 1, 99-111

Abstract: A new two-parameter family of analytical functions will be introduced for the modelling of loss distributions and exposure curves. The curve family contains the Maxwell-Boltzmann, the Bose-Einstein and the Fermi-Dirac distributions, which are well known in statistical mechanics. The functions can be used for the modelling of loss distributions on the finite interval [0, 1] as well as on the interval [0, ∞]. The functions defined on the interval [0, 1] are discussed in detail and related to several Swiss Re exposure curves used in practice. The curves can be fitted to the first two moments μ and σ of a loss distribution or to the first moment μ and the total loss probability p.

Date: 1997
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