HR: 14:40h
AN: S23C-04    [Abstracts]
TI: Premium Rating and Risk Assessment in Earthquake Insurance
AU: * Jimenez-Huerta, D
EM: diego.jimenez-huerta@rms.com
AF: Risk Management Solutions, Peninsular House 30 Monument Street , London, EC3R 8NB United Kingdom
AU: * Jimenez-Huerta, D
EM: diego.jimenez-huerta@rms.com
AF: Deparment of Statistics, London School of Economics and Political Science, Houghton Street, London, WC2A 2AE United Kingdom
AB: Assessing earthquake risk in a given asset portfolio involves a synthesis of results from two areas of research. The first is knowledge of the earthquake sources that are likely to affect the assets: where they are, how large they are likely to be and how often earthquakes are likely to occur; this issue is addressed via a doubly stochastic Poisson-gamma marked point process model for earthquake occurrence, accounting for the spatial and temporal distribution of seismicity. The second is knowledge of the likely severity of loss that will arise given the occurrence of an earthquake. A beta-regression model is used to relate observed (conditional) losses to site conditions and earthquake characteristics. The calculation of expected losses and associated quantities of interest in an insurance portfolio lies at the interface of the above-mentioned two factors and is the aim of this paper. Of particular interest is the approximation of the aggregate loss distribution, from which any actuarial analysis stems.
DE: 7299 General or miscellaneous
SC: Seismology [S]
MN: Fall Meeting 2005