Modelling catastrophe claims with left-truncated severity distributions

Anna Chernobai*, Krzysztof Burnecki, Svetlozar Rachev, Stefan Trück, Rafał Weron

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)


In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a non- homogeneous Poisson process with a sinusoidal intensity rate function. The choice of an adequate loss distribution is conducted via the in-sample goodness-of-fit procedures and forecasting, using classical and robust methodologies.

Original languageEnglish
Pages (from-to)537-555
Number of pages19
JournalComputational Statistics
Issue number3-4
Publication statusPublished - Dec 2006
Externally publishedYes


  • Loss distribution
  • Natural catastrophe
  • Property insurance
  • Ruin probability
  • Truncated data


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