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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...
Persistent link: https://www.econbiz.de/10010296397
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...
Persistent link: https://www.econbiz.de/10010296404
We consider the subject of approximating tail probabilities in the general compound renewal process framework, where severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak convergence of compound renewal processes to a-stable...
Persistent link: https://www.econbiz.de/10011996558
In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a contract reduces the insurer's exposure to the...
Persistent link: https://www.econbiz.de/10013200754
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We demonstrate that continuous-time FARIMA processes with α-stable noise provide a new stochastic tool for studying the solar flare phenomenon in the framework of fractional Langevin equation. Simple computer tests to check the origins of α-stability and self-similarity are implemented for...
Persistent link: https://www.econbiz.de/10011058024
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...
Persistent link: https://www.econbiz.de/10011063064
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...
Persistent link: https://www.econbiz.de/10011064058
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