Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention

On the Actuarial Simulation of the General Pareto Distribution of Catastrophe Loss

Authors
Xiaojun Pan, Chengyi Pu
Corresponding Author
Xiaojun Pan
Available Online November 2016.
DOI
https://doi.org/10.2991/rac-16.2016.93How to use a DOI?
Keywords
General pareto distribution; Catastrophe loss; Actuarial simulation
Abstract
Precisely estimation of Cat-loss is not only the foundation of risk analysis, but also the premise of product design and the practice of insurance compensation. The law of large numbers generally assumes risks have normal distributions, which reduces the accuracy of damage assessment and influences the pricing of cat-insurance due to negligence of the extreme value at both sides of the distribution. Data of more than 100 million Yuan of earthquake disaster loss from 1969-2014 presents the characteristics of right skewed peak, excess kurtosis and heavy tail. Furthermore, the comparison of QQ plot, parameter estimation as well as test of model parameters between N-distribution, E-distribution, W-distribution and P-distribution shows that the generalized Pareto distribution fits the earthquake loss perfectly, and significantly improves the estimate precision.
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Proceedings
7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016)
Publication Date
November 2016
ISBN
978-94-6252-242-8
DOI
https://doi.org/10.2991/rac-16.2016.93How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Xiaojun Pan
AU  - Chengyi Pu
PY  - 2016/11
DA  - 2016/11
TI  - On the Actuarial Simulation of the General Pareto Distribution of Catastrophe Loss
BT  - 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016)
PB  - Atlantis Press
UR  - https://doi.org/10.2991/rac-16.2016.93
DO  - https://doi.org/10.2991/rac-16.2016.93
ID  - Pan2016/11
ER  -