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Micro/Macro-Economic and Spatial Individual Risk Models for Catastrophe Insurance Applications.” Unpublished manuscript (2002)
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BibTeX
@MISC{Duchesne02micro/macro-economicand,
author = {Thierry Duchesne},
title = {Micro/Macro-Economic and Spatial Individual Risk Models for Catastrophe Insurance Applications.” Unpublished manuscript},
year = {2002}
}
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Abstract
In this paper we propose two generalized versions of the individual risk model that include the possibility of catastrophes. Even though the models were developed with home insurance in mind, they can be used in other contexts. The first model is a mathematical formalization of the simulation techniques used in the insurance industry. It allows for a micro-economic formulation useful for ratemaking and a macro-economic formulation more appropriate for catastrophe bond or option pricing. The second model is a spatial specification of the individ-ual risk model that includes correlation between risks as a function of geographic proximity. We outline some of the properties of these more general models and propose methods of specifying their various elements and of estimating their parameters using information that can be found in the literature and on the World Wide Web for the first model, or estimated from insurance data for the spatial model.
Keyphrases
catastrophe insurance application spatial individual risk model micro macro-economic unpublished manuscript first model individual risk model world wide web generalized version geographic proximity catastrophe bond propose method various element option pricing insurance industry spatial specification home insurance simulation technique insurance data individ-ual risk model micro-economic formulation second model spatial model mathematical formalization macro-economic formulation general model
