publication . Article . Other literature type . 2006

Modelling catastrophe claims with left-truncated severity distributions

Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; Trück, Stefan; Weron, Rafał;
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  • Published: 15 Aug 2006 Journal: Computational Statistics, volume 21, pages 537-555 (issn: 0943-4062, eissn: 1613-9658, Copyright policy)
  • Publisher: Springer Science and Business Media LLC
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.
Subjects
free text keywords: Statistics, Probability and Uncertainty, Statistics and Probability, Computational Mathematics, Econometrics, Natural catastrophe, Property insurance, Statistics, Poisson process, symbols.namesake, symbols, Truncation (statistics), Frequency distribution, Consistent Estimation, Rate function, Mathematics
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