Modelling catastrophe claims with left-truncated severity distributions

Anna Chernobai, Krzysztof Burnecki, Svetlozar Rachev, Stefan Trück, Rafał Weron

Research output: Contribution to journalArticle

16 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)537-555
Number of pages19
JournalComputational Statistics
Volume21
Issue number3-4
DOIs
StatePublished - Dec 1 2006
Externally publishedYes

Keywords

  • Loss distribution
  • Natural catastrophe
  • Property insurance
  • Ruin probability
  • Truncated data

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Computational Mathematics

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