Building loss models

Krzysztof Burnecki, Joanna Janczura and Rafał Weron

Chapter 9 in Statistical Tools for Finance and Insurance, 2011, pp 293-328 from Springer

Abstract: Abstract A loss model or actuarial risk model is a parsimonious mathematical description of the behavior of a collection of risks constituting an insurance portfolio. It is not intended to replace sound actuarial judgment. In fact, according to Willmot (2001), a well formulated model is consistent with and adds to intuition, but cannot and should not replace experience and insight. Moreover, a properly constructed loss model should reflect a balance between simplicity and conformity to the data since overly complex models may be too complicated to be useful.

Keywords: Poisson Process; Empirical Distribution Function; Risk Process; Loss Distribution; Excess Function (search for similar items in EconPapers)
Date: 2011
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Working Paper: Building Loss Models (2010)
Working Paper: Building Loss Models (2010)
Working Paper: Building loss models (2010)
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DOI: 10.1007/978-3-642-18062-0_9

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