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Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. (English) Zbl 1291.91095

Insur. Math. Econ. 54, 123-132 (2014); erratum ibid. 61, 298 (2015).
Summary: In the line of H. Cossette et al. [N. Am. Actuar. J. 7, No. 4, 1–22 (2003; Zbl 1084.62526)], we adapt and refine known Markovian-type risk models of S. Asmussen and H. Albrecher [Ruin probabilities. 2nd ed. Hackensack, NJ: World Scientific (2010; Zbl 1247.91080)] and Y. Lu and S. Li [Insur. Math. Econ. 37, No. 3, 522–532 (2005; Zbl 1129.60066)] to a hurricane risk context. These models are supported by the findings that El Niño/Southern Oscillation (as well as other natural phenomena) influence both the number of hurricanes and their strength. Hurricane risk is thus broken into three components: frequency, intensity and damage where the first two depend on the state of the Markov chain and intensity influences the amount of damage to an individual building. The proposed models are estimated with Florida hurricane data and several risk measures are computed over a fictitious portfolio.

MSC:

91B30 Risk theory, insurance (MSC2010)
86A10 Meteorology and atmospheric physics
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