Date of Graduation

Spring 2018

Document Type

Honors Research Project

Degree Name

Bachelor of Science

Major

Statistics - Actuarial Science

Research Sponsor

Dr. Nao Mimoto

First Reader

Dr. Mark Fridline

Second Reader

Dr. Jun Ye

Abstract

Catastrophe modeling is used to prepare for losses caused by natural catastrophes such as earthquakes, hurricanes, or tornadoes and man-made catastrophes such as terrorism. Modeled data can be used to create a comprehensive distribution of possible disasters. The distribution gives probabilities of potential catastrophes of different severities occurring over a certain time frame. Calculating potential losses and probability of those losses occurring allows insurance companies to plan and reserve enough money to protect themselves from catastrophic events. Using a catastrophe case study posted online from the Casualty Actuarial Society and R software, this paper shows the use of statistical techniques to create an Exceedance Probability plot for possible losses from a set of hurricanes with varying loss severity (CAS 18). The creation of the probability plot will then be used on a set of data called “SP500_2000to2015_SM” to show how the use of catastrophe modeling can apply to financial data.

Comments

On the signature page, Dr. Einsporn, the Honors Faculty Advisor accidentally signed on the reader spot where Dr. Fridline should of signed. Dr. Einsporn also signed off for the Faculty Advisor spot, but Dr. Fridline instead signed on the Department Head spot even though he is a reader.

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