Property insurance loss distributions

被引：38

作者：

Burnecki, K

Kukla, G

Weron, R ^{[1
]}

机构：

[1] Wroclaw Univ Technol, Hugo Steinhaus Ctr Stochast Methods, PL-50370 Wroclaw, Poland

[2] Wroclaw Univ Technol, Inst Math, PL-50370 Wroclaw, Poland

来源：

PHYSICA A | 2000年 / 287卷 / 1-2期

关键词：

econophysics; property insurance; loss distribution; PCS index;

D O I：

10.1016/S0378-4371(00)00453-2

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 one. Moreover, lagged autocorrelation study reveals a mean-reverting structure of indices returns. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：269 / 278

页数：10

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