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 is taken into account.    «

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 i...    »