Translated Title

Catastrophe Reinsurance Pricing Based on Copula-EVT Model

Translated Abstract

Owing　to　the　fat　tail　of　catastrophe　losses,　marginal　distributions　of　two　insurance　objects　are　measured　with　the　Peaks-Over-Threshold　model　of　extreme　value　theory,　dependency　of　insurance　objects　is　analyzed　with　two-variate　copula　functions　and　finally　the　catastrophe　reinsurance　pure　premium　presented　through　Monte　Carlo　simulation　method.The　empirical　with　the　flood　loss　data　is　shown　that　Clayton　Copula　can　better　reflect　the　dependent　frame　of　two　insurance　objects.The　setting　of　attachment　points　is　an　important　factor　to　pure　premium　and　attachment　points　based　on　conditional　quantile　give　better　and　more　reasonable　conclusions.This　paper　has　important　reference　values　for　insurer　developing　catastrophe　reinsurance　by　multivariate　insurance　objects.

Translated Keyword

catastrophe reinsurance
Copula function
EVT
Monte Carlo simulation

Classification

F224.0

Type

Project Name

Project No.

Access Number

WF:perioarticaltjyxxlt201705008

Language

Chinese

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