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Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
Affiliation:1. Université du Québec à Montréal, Département de mathématiques, C.P. 8888, succ. Centre-Ville, Montréal, QC, H3C 3P8, Canada;2. Université Laval, École d’actuariat, Québec, QC, G1V 0A6, Canada;1. DFG Research Training Group 1100, University of Ulm, Ulm, Germany;2. Institut de Statistique, Biostatistique et Sciences Actuarielles, Université Catholique de Louvain, Louvain-la-Neuve, Belgium;3. Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, United Kingdom;1. Key Laboratory for Medical Tissue Regeneration of Henan Province, School of Basic Medical Sciences, Xinxiang Medical University, Xinxiang 453003, China;2. Department of Physiology and Pathophysiology, School of Basic Medical Sciences, Capital Medical University, Beijing 100069, China;1. Risk and Actuarial Studies, Australian School of Business, UNSW Sydney NSW 2052, Australia;2. Département de Mathématiques et de Statistique, Université de Montréal, Montréal (Québec) H3T 1J4, Canada;1. Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, CZ-18675 Prague, Czech Republic;2. Humboldt University of Berlin, School of Business and Economics, Ladislaus von Bortkiewicz Chair of Statistics, C.A.S.E. –Center for Applied Statistics and Economics, Spandauer Strasse 1, D-10178 Berlin, Germany
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
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