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The Swiss Re Exposure Curves and the MBBEFD Distribution Class1

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  • Bernegger, Stefan

Abstract

A new two-parameter family of analytical functions will be introduced for the modelling of loss distributions and exposure curves. The curve family contains the Maxwell-Boltzmann, the Bose-Einstein and the Fermi-Dirac distributions, which are well known in statistical mechanics. The functions can be used for the modelling of loss distributions on the finite interval [0, 1] as well as on the interval [0, ∞]. The functions defined on the interval [0, 1] are discussed in detail and related to several Swiss Re exposure curves used in practice. The curves can be fitted to the first two moments μ and σ of a loss distribution or to the first moment μ and the total loss probability p.

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  • Bernegger, Stefan, 1997. "The Swiss Re Exposure Curves and the MBBEFD Distribution Class1," ASTIN Bulletin, Cambridge University Press, vol. 27(1), pages 99-111, May.
    • Handle: RePEc:cup:astinb:v:27:y:1997:i:01:p:99-111_01
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    1. repec:prg:jnlpep:v:preprint:id:683:p:1-26 is not listed on IDEAS
    2. Jan Hrevuš & Luboš Marek, 2019. "Exposure Modelling in Property Reinsurance," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(2), pages 129-154.

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