Catastrophe Modeling and Actuarial Applications Jonathan Evans, FCAS, MAAA Actuary Iowa Actuarial Club February 23, 2007 What Are Catastrophes ? Single events that produce such a large number of claims
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Jonathan Evans, FCAS, MAAA
Iowa Actuarial Club
February 23, 2007
– that it is very highly improbable such an event would actually occur (assuming risk exposures are independent)
Catastrophe models generally consist of:
For Policy A and Event U the loss is calculated as:
For Policy A
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-Grossi, Patricia and Kunreuther, Howard, Catastrophe Modeling: A New Approach to Managing Risk (Huebner International Series on Risk, Insurance and Economic Security),Springer, 2005.
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-Woo, Gordon, The Mathematics of Natural Catastrophes, World Scientific Publishing Company, 1999.