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    Robust Modeling of Earthquake Catastrophe Risk for Insurance: An Integrated Approach Incorporating Active Faults and an Epidemic-Type Model

    Source: ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering:;2024:;Volume ( 010 ):;issue: 004::page 04024063-1
    Author:
    Emmanouil Louloudis
    ,
    Alexandros Zimbidis
    DOI: 10.1061/AJRUA6.RUENG-1366
    Publisher: American Society of Civil Engineers
    Abstract: Typically, the assessment of seismic risk premium relies heavily on the spatiotemporal model of seismic events. While most actuarial approaches concentrate on models with simpler dynamics, such as the homogeneous Poisson model, this research article examines a more sophisticated modeling approach utilizing the historical catalog as a branching process, specifically the epidemic-type aftershock sequence model. Based on the stochastic declustering of the events, the probability distribution function of the maximum magnitude of the background events and their descendants is used as input for the premium rating process. Since historical catalogs only provide a small amount of information compared to the properties of seismic faults, the latter are incorporated to estimate the seismic risk. A case study focusing on the region of Greece is presented, which aligns with findings from the reinsurance market in terms of expected loss. Contrary to the standard formula of Solvency II, we propose a lower solvency capital requirement by employing value at risk as the designated risk measure.
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      Robust Modeling of Earthquake Catastrophe Risk for Insurance: An Integrated Approach Incorporating Active Faults and an Epidemic-Type Model

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    contributor authorEmmanouil Louloudis
    contributor authorAlexandros Zimbidis
    date accessioned2025-04-20T10:01:33Z
    date available2025-04-20T10:01:33Z
    date copyright8/30/2024 12:00:00 AM
    date issued2024
    identifier otherAJRUA6.RUENG-1366.pdf
    identifier urihttp://yetl.yabesh.ir/yetl1/handle/yetl/4303856
    description abstractTypically, the assessment of seismic risk premium relies heavily on the spatiotemporal model of seismic events. While most actuarial approaches concentrate on models with simpler dynamics, such as the homogeneous Poisson model, this research article examines a more sophisticated modeling approach utilizing the historical catalog as a branching process, specifically the epidemic-type aftershock sequence model. Based on the stochastic declustering of the events, the probability distribution function of the maximum magnitude of the background events and their descendants is used as input for the premium rating process. Since historical catalogs only provide a small amount of information compared to the properties of seismic faults, the latter are incorporated to estimate the seismic risk. A case study focusing on the region of Greece is presented, which aligns with findings from the reinsurance market in terms of expected loss. Contrary to the standard formula of Solvency II, we propose a lower solvency capital requirement by employing value at risk as the designated risk measure.
    publisherAmerican Society of Civil Engineers
    titleRobust Modeling of Earthquake Catastrophe Risk for Insurance: An Integrated Approach Incorporating Active Faults and an Epidemic-Type Model
    typeJournal Article
    journal volume10
    journal issue4
    journal titleASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering
    identifier doi10.1061/AJRUA6.RUENG-1366
    journal fristpage04024063-1
    journal lastpage04024063-10
    page10
    treeASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering:;2024:;Volume ( 010 ):;issue: 004
    contenttypeFulltext
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