https://scholars.lib.ntu.edu.tw/handle/123456789/471384
Title: | HURRICANE RISK MANAGEMENT WITH CLIMATE AND CO2 INDICES | Authors: | CHIA-CHIEN CHANG Yang, Jen-Wei Yu, Min-Teh |
Issue Date: | 2018 | Journal Volume: | 85 | Journal Issue: | 3 | Start page/Pages: | 695-720 | Source: | Journal of Risk and Insurance | Abstract: | We propose a regime-switching Poisson process incorporating climate and carbon dioxide (CO2) indices (RPCM) to model hurricane frequency. Model accuracy shows that two-state RPCM (2-RPCM) is superior to the existing climate methods, as forecast errors under 2-RPCM are smaller than previous models by about 60–75 percent. We derive the pricing formula of reinsurance premiums by assuming the aggregate loss following the regime-switching compound process. Pricing errors under 2-RPCM for reinsurance premiums are 35–54 percent lower than those from previous models. The climate and regime-switching effects dominate the CO2 effect in reducing pricing errors and producing more effective tail value at risk. © 2016 The Journal of Risk and Insurance |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/471384 | ISSN: | 0022-4367 | DOI: | 10.1111/jori.12182 |
Appears in Collections: | 外國語文學系 |
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