Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model

Patryk Miziuła and Radek Solnický

Scandinavian Actuarial Journal, 2018, vol. 2018, issue 1, 64-75

Abstract: In the paper we propose a method how to assess sharp bounds on change in the expected value and variance of the individual loss distributions of the risks in the flood catastrophe model. The method does not involve the use of the whole model, only the river discharge distributions and above mentioned loss distribution moments are required. We present the method on a case study inspired by floods in Poland.

Date: 2018
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DOI: 10.1080/03461238.2017.1284152

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