Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds

DOI10.2436/20.8080.02.64zbMath1386.91079OpenAlexW2783760513MaRDI QIDQ4606120

Guillermo Franco, Madeleine Lopeman, Laura Calvet, Jesica De Armas, Angel A. Juan

Publication date: 1 March 2018

Full work available at URL: https://ddd.uab.cat/pub/sort/sort_a2017m7-12v41n2/sort_a2017m7-12v41n2p373.pdf

zbMATH Keywords

earthquakesinsurancecatastrophe bondsclassification techniquesrisk of natural hazards

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05)

Uses Software

• Octave
• R
• Scilab

Cites Work

• A maximum likelihood methodology for clusterwise linear regression
• Catastrophe risk bonds with applications to earthquakes
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
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