Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/22775 |
Resumo: | A complete model to analyse and predict future losses in the property portfolio of an insurance company due to hurricanes is proposed. A novel statistical model, in which weather data is not required, is considered. Climate data may not be reliable, or may be difficult to deal with or to obtain, hence we reconstruct the storm behaviour through the registered claims and respective losses. The model is calibrated using the loss data of the property portfolio of the insurance company Fidelidade, from hurricane Leslie, which hit the center of continental Portugal in October 2018. Several scenarios are simulated and risk maps are built. The simulated scenarios can be used to compute risk premiums per risk class in the portfolio. These can be used to adjust the policy premiums accounting for a storm risk. The risk map of the company also depends on its portfolio, namely its exposure, providing a hurricane risk management tool for the insurance company. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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Building a hurricane risk map for continental Portugal based on loss data from hurricane LeslieRiskHurricanesProperty InsuranceRegression ModelsA complete model to analyse and predict future losses in the property portfolio of an insurance company due to hurricanes is proposed. A novel statistical model, in which weather data is not required, is considered. Climate data may not be reliable, or may be difficult to deal with or to obtain, hence we reconstruct the storm behaviour through the registered claims and respective losses. The model is calibrated using the loss data of the property portfolio of the insurance company Fidelidade, from hurricane Leslie, which hit the center of continental Portugal in October 2018. Several scenarios are simulated and risk maps are built. The simulated scenarios can be used to compute risk premiums per risk class in the portfolio. These can be used to adjust the policy premiums accounting for a storm risk. The risk map of the company also depends on its portfolio, namely its exposure, providing a hurricane risk management tool for the insurance company.ISEG - REM – Research in Economics and MathematicsRepositório da Universidade de LisboaHauser, AndreaRosa, CarlosEsteves, Rui EstevesMoura, AlexandraOliveira, Carlos2021-12-18T15:38:46Z2021-122021-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/22775engHauser, Andrea ... [et al.] (2021). "Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie". Instituto Superior de Economia e Gestão – REM Working paper series nº 0209 – 20212184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:52:19Zoai:www.repository.utl.pt:10400.5/22775Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:07:06.873826Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
title |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
spellingShingle |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie Hauser, Andrea Risk Hurricanes Property Insurance Regression Models |
title_short |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
title_full |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
title_fullStr |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
title_full_unstemmed |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
title_sort |
Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie |
author |
Hauser, Andrea |
author_facet |
Hauser, Andrea Rosa, Carlos Esteves, Rui Esteves Moura, Alexandra Oliveira, Carlos |
author_role |
author |
author2 |
Rosa, Carlos Esteves, Rui Esteves Moura, Alexandra Oliveira, Carlos |
author2_role |
author author author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Hauser, Andrea Rosa, Carlos Esteves, Rui Esteves Moura, Alexandra Oliveira, Carlos |
dc.subject.por.fl_str_mv |
Risk Hurricanes Property Insurance Regression Models |
topic |
Risk Hurricanes Property Insurance Regression Models |
description |
A complete model to analyse and predict future losses in the property portfolio of an insurance company due to hurricanes is proposed. A novel statistical model, in which weather data is not required, is considered. Climate data may not be reliable, or may be difficult to deal with or to obtain, hence we reconstruct the storm behaviour through the registered claims and respective losses. The model is calibrated using the loss data of the property portfolio of the insurance company Fidelidade, from hurricane Leslie, which hit the center of continental Portugal in October 2018. Several scenarios are simulated and risk maps are built. The simulated scenarios can be used to compute risk premiums per risk class in the portfolio. These can be used to adjust the policy premiums accounting for a storm risk. The risk map of the company also depends on its portfolio, namely its exposure, providing a hurricane risk management tool for the insurance company. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-18T15:38:46Z 2021-12 2021-12-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/22775 |
url |
http://hdl.handle.net/10400.5/22775 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Hauser, Andrea ... [et al.] (2021). "Building a hurricane risk map for continental Portugal based on loss data from hurricane Leslie". Instituto Superior de Economia e Gestão – REM Working paper series nº 0209 – 2021 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM – Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM – Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131164570550272 |