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

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

No HSC/05/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology

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.

Keywords: Natural catastrophe; Property insurance; Loss distribution; Truncated data; Ruin probability (search for similar items in EconPapers)
JEL-codes: C16 C24 G22 (search for similar items in EconPapers)
Date: 2005
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Published (shorter version) in Computational Statistics 21(3-4) (2006) 537-555.

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_05_01.pdf Original version, 2005 (application/pdf)

Related works:
Working Paper: Modelling catastrophe claims with left-truncated severity distributions (extended version) (2005) Downloads
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