Berlin 2005 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 13: Financial Markets and Risk Management I

AKSOE 13.4: Talk

Wednesday, March 9, 2005, 11:30–12:00, TU P-N203

Riskmanagement and Pricing for Insurance Portfolios with Exposure to Storms — •Magda Schiegl — Versicherungskammer Bayern, Maximilianstr. 53, D-80530 Munich

We observe number of claim distributions emerging from insurance portfolios with storm exposure to have fat tail distributions. As the distribution of severity of claims in such portfolios is much more rapidly decreasing than claim number distribution the later is the main source of risk.

We use mixed Poisson distributions to construct fat tailed number of claim distributions. We investigate the properties of the distributions as well as the dynamics of the underlying process by taking a variety of different sampling times. Our aim is to receive a probability distribution for the annual number of claims for a given portfolio. We combine analytical and numerical methods to reach this aim.