Problem of rare events in modelling of the financial state of insurance company

Aleksandra Wojciechowska ,  Ryszard Kutner 

Warsaw University, Faculty of Physics, Hoża 69, Warszawa 00-681, Poland

Abstract

Modelling of the financial state of any insurance company requires the knowledge of the distribution of frequency of claims and the distribution of values of claims. The large claims and the average ones need to be considered independently. Rare large claims have significant influence on financial state of any insurance company. Their distribution may differ from the one inferred from the whole empirical sample of claims. We estimate the distribution of large claims by Maximum Likelihood Method by using the Extreme Value Theory.

 

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Presentation: Oral at 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Aleksandra Wojciechowska
See On-line Journal of 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2009-03-29 22:40
Revised:   2009-06-07 00:48