Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2005): Modelling catastrophe claims with lefttruncated severity distributions (extended version).

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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 nonhomogeneous Poisson process with a sinusoidal intensity rate function. The choice of an adequate loss distribution is conducted via the insample goodnessoffit procedures and forecasting, using classical and robust methodologies.
This is an extended version of the article: Chernobai et al. (2006) Modelling catastrophe claims with lefttruncated severity distributions, Computational Statistics 21(34): 537555.
Item Type:  MPRA Paper 

Original Title:  Modelling catastrophe claims with lefttruncated severity distributions (extended version) 
Language:  English 
Keywords:  Natural Catastrophe, Property Insurance, Loss Distribution, Truncated Data, Ruin Probability 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General G  Financial Economics > G2  Financial Institutions and Services > G22  Insurance ; Insurance Companies ; Actuarial Studies C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C24  Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General 
Item ID:  10423 
Depositing User:  Rafal Weron 
Date Deposited:  13 Sep 2008 00:40 
Last Modified:  28 Sep 2019 16:20 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/10423 