Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

DOI10.1016/J.INSMATHECO.2013.11.002MaRDI QIDQ2015481zbMATH OpenOpenAlexWikidataFDO

Authors Mathieu Boudreault, Hélène Cossette, É. Marceau

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.11.002

zbMATH Keywords

risk measuresrisk theoryFlorida hurricaneshurricane riskel Niño/Southern Oscillation (ENSO)

Mathematics Subject Classification ID

Meteorology and atmospheric physics (86A10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Doubly periodic non-homogeneous Poisson models for hurricane data
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Modeling Catastrophes and their Impact on Insurance Portfolios
• On a risk model with dependence between interclaim arrivals and claim sizes
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• On the probability of ruin in a Markov-modulated risk model
• On the severity of ruin in a Markov-modulated risk model
• Regime-Switching Periodic Models For Claim Counts
• Risk theory in a Markovian environment
• Ruin probabilities
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

Cited in

(4)

• Hurricane lifespan modeling through a semi-Markov parametric approach
• A simple Bayesian state-space approach to the collective risk models
• Aggregate claim estimation using bivariate hidden Markov model
• Global warming, extreme weather events, and forecasting tropical cyclones: a market-based forward-looking approach

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