Abstract
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.
Volume
287
Page
269 ‐ 278
Number
1
Year
2000
Keywords
Econophysics; Property insurance; loss distribution; PCS index
Categories
Reinsurance and Alternative Risk Transfer
Publications
Physica A