Some Indices for Heavy-Tailed Distributions

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
Authors
Roberto Daris
Lucio Torelli