We propose a class of nonparametric tests on the Pareto tail index of the innovation distribution in the linear autoregressive model. The simulation study illustrates a good performance of the tests. Such tests have various applications in a study of flood flows, rainflow data, behavior of solids, atmospheric ozone layer and reliability analysis, in communication engineering, in stock markets a...

To support the transition from traditional flood defence strategies to a flood risk management approach at the basin scale in Europe, the EU has adopted a new Directive (2007/60/EC) at the end of 2007. One of the major tasks which member states must carry out in order to comply with this Directive is to map flood hazards and risks in their territory, which will form the basis of future flood ri...

We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and dividend payments process to maximize the expected present value of the dividend...

Within the insurance industry, catastrophe modelling is a process for assessing and quantifying the impact of natural and man-made hazards on insured assets. This will involve replicating, using a computer model, the action of the hazard (earthquake, hurricane, flood), the vulnerability of the asset which is exposed to the hazard (e.g. a building, an oil-rig) and the financial mechanism of the ...

Abstract How flooding affects home values can determine the path of economic recovery for communities and have lasting impacts on national global financial systems. Yet, our understanding how flood insurance, community risk perception, past events shape future housing prices (HPs) remains limited. To explore this, we used a socio-environmental (SE) model studied temporal mean across 496 coastal...

Risk-based approaches have been increasingly accepted and operationalized in flood risk management during recent decades. For instance, commercial flood risk models are used by the insurance industry to assess potential losses, establish the pricing of policies and determine reinsurance needs. Despite considerable progress in the development of loss estimation tools since the 1980s, loss estima...