Bayesian approaches for analyzing earthquake catastrophic risk

DOI10.1016/J.INSMATHECO.2016.02.004MaRDI QIDQ320279zbMATH OpenOpenAlexFDO

Authors Yun-Xian Li, N. S. Tang, Xuejun Jiang

Publication date 6 October 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.02.004

zbMATH Keywords

mixture modelscatastrophic riskBayesian approachesearthquake lossesMCMC methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Bayesian inference of earthquake parameters from buoy data using a polynomial chaos-based surrogate
• Severity modeling of extreme insurance claims for tariffication
• Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
• A statistical model of Chinese earthquake loss distribution
• Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
• Earthquake parametric insurance with Bayesian spatial quantile regression
• A new class of copula regression models for modelling multivariate heavy-tailed data

Describes a project that uses

Uses Software

• WinBUGS
• ismev
• QRM

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