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Property insurance loss distributions

By Krzysztof Burnecki, Grzegorz Kukla and Rafal Weron

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.Econophysics; Property insurance; Loss distribution; PCS index;

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