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2010-10-14Buch DOI: 10.18452/4276
Building Loss Models
dc.contributor.authorBurnecki, Krzysztof
dc.contributor.authorJanczura, Joanna
dc.contributor.authorWeron, Rafał
dc.date.accessioned2017-06-16T00:13:05Z
dc.date.available2017-06-16T00:13:05Z
dc.date.created2010-10-27
dc.date.issued2010-10-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4928
dc.description.abstractThis paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the severity (or size) of loss resulting from the occurrence of a claim. In this paper we first present efficient simulation algorithms for several classes of claim arrival processes. Then we review a collection of loss distributions and present methods that can be used to assess the goodness-of-fit of the claim size distribution. The collective risk model is often used in health insurance and in general insurance, whenever the main risk components are the number of insurance claims and the amount of the claims. It can also be used for modeling other non-insurance product risks, such as credit and operational risk.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectInsurance risk modeleng
dc.subjectLoss distributioneng
dc.subjectClaim arrival processeng
dc.subjectPoisson processeng
dc.subjectRenewal processeng
dc.subjectRandom variable generationeng
dc.subjectGoodness-of-fit testingeng
dc.subject.ddc330 Wirtschaft
dc.titleBuilding Loss Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100176472
dc.identifier.doihttp://dx.doi.org/10.18452/4276
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages42
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue48
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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