Property insurance loss distributions

Krzysztof Burnecki, Grzegorz Kukla and Rafał Weron

No HSC/00/03, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

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)
JEL-codes: C46 G22 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2000
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Citations: View citations in EconPapers (18)

Published in Physica A 287 (2000) 269-278.

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_00_03.pdf Final draft, 2000 (application/pdf)

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Journal Article: Property insurance loss distributions (2000)
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