Abstract
It is known that, for certain probability distributions, some classical risk-indices, depending on moments on the first and the second order, may not exist. In this paper some alternative indices are presented in order to give a classification of both the most common distributions and the only heavy-tailed (or subexponential) ones.
Volume
Porto Cervo, Italy
Year
2000
Categories
Financial and Statistical Methods
Loss Distributions
Severity
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Colloquium