Stochastic modelling of catastrophe risks in DFA models

Submitted on 29th July 2015

The following study aims to present two actual approaches in modelling loss due to natural catastrophes taking storms as an example. Both models use results from natural risks models. The first method is based on processing complete event loss tables, while the second mathematical statistical approach uses information from certain return periods. Both methods will be compared using example data, and their advantages and disadvantages will be pointed out as applicable to value- and riskbased management. Finally, the study will calculate risk capital, and test the impact of strategies on risk capital requirement.

Source
ASTIN
Length of Resource
20
Resource File
Author
Dorothea Diers
Date Published
Publication Type
paper
Resource Type
academic