Property insurance loss distributions

Krzysztof Burnecki, Grzegorz Kukla and Rafał Weron

Physica A: Statistical Mechanics and its Applications, 2000, vol. 287, issue 1, 269-278

Abstract: 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.

Keywords: Econophysics; Property insurance; Loss distribution; PCS index (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:287:y:2000:i:1:p:269-278

DOI: 10.1016/S0378-4371(00)00453-2

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