Large insurance losses distributions.

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...     »