The classical financial models are based on the standard Brownian diffusion-type processes. However, in the exhibition of some real market data (like interest or exchange rates) we observe characteristic periods of constant values. Moreover, in the case of financial data, the assumption of...

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish fire losses for the...

In this paper we show that the logarithmic returns of the Hang Seng index from January 2, 1987 to November 14, 2005 statistically resemble a sequence of independent identically distributed Lévy stable random variables. This is in stark contrast to Xiu and Jin (2007) [39], where long-memory...

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...

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...