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Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena

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  • Benoit Mandelbrot

    (Harvard University and I. B. M. Corporation)

Abstract

Being one of the oldest branches of operations research, actuarial science has accumulated a substantial store of knowledge about the risks associated with living. The present paper will discuss one such question. Although it is relative to a specific problem of fire casualty, it illustrates more generally why the Paretian distribution of incomes and fortunes should constitute “a source of anxiety for the risk theory of insurance.” Very similar mechanisms apply in many other problems.

Suggested Citation

  • Benoit Mandelbrot, 1964. "Random Walks, Fire Damage Amount and Other Paretian Risk Phenomena," Operations Research, INFORMS, vol. 12(4), pages 582-585, August.
    • Handle: RePEc:inm:oropre:v:12:y:1964:i:4:p:582-585
    DOI: 10.1287/opre.12.4.582
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    Cited by:

    1. Corinne Sinner & Yves Dominicy & Julien Trufin & Wout Waterschoot & Patrick Weber & Christophe Ley, 2023. "From Pareto to Weibull – A Constructive Review of Distributions on ℝ+," International Statistical Review, International Statistical Institute, vol. 91(1), pages 35-54, April.
    2. Louis Anthony (Tony) Cox, Jr., 2012. "Community Resilience and Decision Theory Challenges for Catastrophic Events," Risk Analysis, John Wiley & Sons, vol. 32(11), pages 1919-1934, November.

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