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Document Details : Title: The Swiss Re Exposure Curves ad the MBBEFD Distribution Class Author(s): BERNEGGER, S. Journal: ASTIN Bulletin Volume: 27 Issue: 1 Date: May 1997 Pages: 99-112 DOI: 10.2143/AST.27.1.563208 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. |
