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
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
-Bouska, Amy, “From Disability Income to Mega-Risks: Policy-Event Based Loss Estimation”, CAS Forum, Summer 1996.
-Grossi, Patricia and Kunreuther, Howard, Catastrophe Modeling: A New Approach to Managing Risk (Huebner International Series on Risk, Insurance and Economic Security),Springer, 2005.
-Kozlowski, Ronald T. and Mathewson, Stuart B., “Measuring and Managing Catastrophic Risk”, CAS Discussion Paper Program, 1995.
-Woo, Gordon, The Mathematics of Natural Catastrophes, World Scientific Publishing Company, 1999.