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SYFT: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 3: Fat-Tail Distributions - Applications from Physics to Finance

SYFT 3.2: Poster

Monday, March 8, 2004, 16:00–18:00, Poster D

Pricing of Fire Insurance Contracts — •Magda Schiegl — Versicherungskammer Bayern, Abt. 8MS02, Maximilianstr. 53, 80530 Muenchen

For pricing of insurance contracts the distribution of the annual claims losses has to be calculated. We have given empirical data for number of claims’ occurrence days distribution as well as single claim size distribution data.

We find a stochastic model describing the number of claims process. The single claim sizes in fire insurance possess a clearly fat-tailed distribution function. We combine these two components to obtain the distribution of annual claims losses We investigate the impact of those two stochastic components (claim number and size) on the distribution of annual claims losses, especially the behaviour of the tail.