Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1 + X2 occur as result of a single big jump with heavy tails whereas X1,X2 are...

Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1+X2 occur as result of a single big jump with heavy tails whereas X1,X2 are of...

This paper is intended as a guide to statistical inference for loss distributions. There are three basic approaches to deriving the loss distribution in an insurance risk model: empirical, analytical, and moment based. The empirical method is based on a sufficiently smooth and accurate estimate...

This chapter develops on risk processes which, perhaps, are most suitable for computer visualization of all insurance objects. At the same time, risk processes are basic instruments for any non-life actuary – they are vital for calculating the amount of loss that an insurance company may incur.

The phenomenon of high volatility in financial markets stemming from the increased complexity of financial instruments traded, as well as the evidence of losses due to natural and man-made catastrophes, highlight the need for sophisticated risk management practices. The analysis concerning the...