新西兰地震保险损失之间的空间相关性建模:混合效应分析
F Marta L Di Lascio1, Ilan Noy2,3, Selene Perazzini4
1Faculty of Economics and Management, Free University of Bozen-Bolzano, Bozen-Bolzano, Italy.
概括
本研究引入了一种新的混合效应模型,通过考虑损失的空间相关性来改进地震保险风险评估. 该模型增强了预测能力,以便更准确地计算保险费和规划弹性.
科学领域:
- * 风险管理和保险
- *地震学和自然灾害建模
- * 统计建模 * 统计建模
背景情况:
- *地震保险对于个人恢复和恢复能力至关重要.
- *当前的保险费计算经常忽视保险资产之间的空间相关性,可能低估了风险.
- *新西兰的地震活动需要强有力的保险风险评估.
研究的目的:
- * 开发一个统计模型,以解释地震保险损失中的异种类型和空间相关性.
- *为了提高风险估计的准确性和地震保险的超值概率曲线.
- *为了捕捉新西兰的病区和领土当局层面的损失变化.
主要方法:
- * 开发一个两级方差组件混合效应模型.
- *利用2000年至2021年间新西兰的地震损失数据.
- *包括地震危险指标,人口密度和平均住房价值等变量.
主要成果:
- * 拟议的模型成功地检测了病房层面损失的空间相关性.
- * 纳入空间相关性可以提高损失估计模型的预测能力.
- * 该模型提供了更好的空间相关索赔的评估,特别是影响损失分布的尾部.
结论:
- *混合效应模型通过考虑空间依赖,为地震保险风险评估提供了更准确的方法.
- * 改进的风险评估可以导致更适当的保费设定和增强的财务弹性.
- *这些发现特别适用于具有重大地震风险和已建立的保险框架的地区,如新西兰.
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