Modelling catastrophe claims with left-truncated severity distributions (extended version)

Anna Chernobai, Krzysztof Burnecki, Svetlozar Rachev, Stefan Trueck () and Rafał Weron

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a non-homogeneous Poisson process with a sinusoidal intensity rate function. The choice of an adequate loss distribution is conducted via the in-sample goodness-of-fit procedures and forecasting, using classical and robust methodologies. This is an extended version of the article: Chernobai et al. (2006) Modelling catastrophe claims with left-truncated severity distributions, Computational Statistics 21(3-4): 537-555.

Keywords: Natural Catastrophe; Property Insurance; Loss Distribution; Truncated Data; Ruin Probability (search for similar items in EconPapers)
JEL-codes: C13 C15 C24 G22 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/10423/1/MPRA_paper_10423.pdf original version (application/pdf)

Related works:
Working Paper: Modeling catastrophe claims with left-truncated severity distributions (extended version) (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10423

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().