Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

Mathieu Boudreault, Hélène Cossette and Étienne Marceau

Insurance: Mathematics and Economics, 2014, vol. 54, issue C, 123-132

Abstract: In the line of Cossette et al. (2003), we adapt and refine known Markovian-type risk models of Asmussen (1989) and Lu and Li (2005) to a hurricane risk context. These models are supported by the findings that El Niño/Southern Oscillation (as well as other natural phenomena) influence both the number of hurricanes and their strength. Hurricane risk is thus broken into three components: frequency, intensity and damage where the first two depend on the state of the Markov chain and intensity influences the amount of damage to an individual building. The proposed models are estimated with Florida hurricane data and several risk measures are computed over a fictitious portfolio.

Keywords: Risk theory; Hurricane risk; Risk measures; El Niño/Southern Oscillation (ENSO); Florida hurricanes (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:54:y:2014:i:c:p:123-132

DOI: 10.1016/j.insmatheco.2013.11.002

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