Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167841
Authors: 
Biffis, Enrico
Chavez, Erik
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 2 [Year:] 2014 [Issue:] 4 [Pages:] 411-424
Abstract: 
We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd's of London syndicates, and provides information on over three thousand claims occurred during the period 2000 - 2012, including detailed information on exposures. We use occupancy characteristics to compare the tail risk profiles of different commercial property exposures, and find evidence of substantial heterogeneity in tail behavior. The results demonstrate the benefits of aggregating granular information on both claims and exposures from different data sources, and provide warning against the use of reserving and capital modeling approaches that are not robust to heavy tails.
Subjects: 
commercial property insurance
exposure rating
heavy tails
tail index
tail regression
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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