Modeling Catastrophes and their Impact on Insurance Portfolios

DOI10.1080/10920277.2003.10596114zbMath1084.62526OpenAlexW2046879558MaRDI QIDQ5715933

Thierry Duchesne, Hélène Cossette, Étienne Marceau

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596114

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Theory of singularities and catastrophe theory (58K99)

Related Items (6)

Basis risk management and randomly scaled uncertainty ⋮ Extreme dependence of multivariate catastrophic losses ⋮ Risk models with dependence between claim occurrences and severities for Atlantic hurricanes ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ Univariate and bivariate GPD methods for predicting extreme wind storm losses ⋮ Market Price of Insurance Risk Implied by Catastrophe Derivatives

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