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- Title
VALIDACIÓN ALTERNATIVA DEL MODELO CONTINUO ALEATORIO DE MODELACIÓN DE UN ÍNDICE DE PÉRDIDAS POR CATÁSTROFES CON TASA DE DECLARACIÓN DE SINIESTROS CONSTANTE DESENCADENANTE DE LOS CAT BONDS. ESTUDIO PARA EL CASO DE INUNDACIONES EN ESPAÑA.
- Authors
PÉREZ-FRUCTUOSO, MARÍA JOSÉ
- Abstract
Following the continuous modelling of loss index triggers for CAT Bonds developed by Pérez-Fructuoso (2008 and 2009), this paper estimates the instantaneous loss reporting rate (the proposed model's fundamental parameter) by applying a Restricted Minimum Squares' alternative methodology to a dataset of several floods occurred in Spain. Results are compared with those stemming from the traditional methodology of maximum-likelihood, the Wiener- Process-induced model's volatility is obtained, and the goodness-of-fit is verified through the calculation of the corresponding confidence intervals.
- Subjects
SPAIN; CATASTROPHE bonds; CONFIDENCE intervals; STANDARD deviations; CHI-squared test; FLOOD insurance; FLOODS; RATES
- Publication
Revista Ibero-Latinoamericana de Seguros, 2021, Vol 30, Issue 55, p201
- ISSN
0123-1154
- Publication type
Article
- DOI
10.11144/Javeriana.ris55.vamc