Modelling catastrophe claims with left-truncated severity distributions | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/146621

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Title: Modelling catastrophe claims with left-truncated severity distributions
Related: Computational statistics, Vol. 21, Issue 3-4, (2006), p.537-555
DOI: 10.1007/s00180-006-0011-2
Publisher: Physica-Verlag
Date: 2006
FoR/RFCD Code(s): 080200 Computation Theory and Mathematics 010400 Statistics
Author/Creator: Chernobai, Anna
Author/Creator: Burnecki, Krzysztof
Author/Creator: Rachev, Svetlozar
Author/Creator: Trück, Stefan
Author/Creator: Weron, Rafał
Description: 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.
Description: 19 page(s)
Subject Keyword: 080200 Computation Theory and Mathematics
Subject Keyword: 010400 Statistics
Subject Keyword: Natural catastrophe
Subject Keyword: Property insurance
Subject Keyword: Loss distribution
Subject Keyword: Truncated data
Subject Keyword: Ruin probability
Resource Type: journal article
Organisation: Macquarie University. Dept. of Economics

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