Statistical and machine learning approaches for the minimization of trigger errors in parametric earthquake catastrophe bonds

DOI10.2436/20.8080.02.64MaRDI QIDQ4606120zbMATH OpenOpenAlexFDO

Authors Laura Calvet, Madeleine Lopeman, Jesica De Armas, Guillermo Franco, Angel A. Juan

Publication date 1 March 2018

Full work available at URL https://ddd.uab.cat/pub/sort/sort_a2017m7-12v41n2/sort_a2017m7-12v41n2p373.pdf

zbMATH Keywords

earthquakesinsurancecatastrophe bondsclassification techniquesrisk of natural hazards

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The optimal write-down coefficients in a percentage for a catastrophe bond
• Catastrophe risk bonds with applications to earthquakes
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• Study on optimal discount coefficient of multi-event catastrophe bonds under risk feedback conditions
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment

Cites work

• A maximum likelihood methodology for clusterwise linear regression
• Catastrophe risk bonds with applications to earthquakes
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Supervised machine learning: a review of classification techniques

Cited in

(4)

• The optimal write-down coefficients in a percentage for a catastrophe bond
• Study on optimal discount coefficient of multi-event catastrophe bonds under risk feedback conditions
• A biased-randomized algorithm for optimizing efficiency in parametric earthquake (re) insurance solutions
• Stochastic assessment of seismic risk using faults to address the incomplete information in historical catalogues

Describes a project that uses

Uses Software

• Scilab
• Octave
• R

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