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Document type:
Buchbeitrag
Title:
Large insurance losses distributions.
Abstract:
Large insurance losses happen infrequently, but they happen. In this paper we present the standard distribution models used in fire, wind–storm or flood insurance. We also present the classical Cramér-Lundberg model for the total claim amount and some more recent extensions. The classical insurance risk measure is the ruin probability and we give a full account of the ruin event in such models. Finally, we present some results for an integrated insurance risk
model, where also investment risk... »
Keywords:
Cramér-Lundberg model, integrated risk process, integrated tail distribution function, Pollaczek-Khinchine formula, quintuple law, regular variation, renewal measure, risk model, ruin probability, sample path leading to ruin, subexponential distribution
Book title:
Encyclopedia of Quantitative Risk Assessment
Publisher:
Wiley
Year:
2014
Reviewed:
ja
Language:
en
Format:
Text
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