Date of Last Revision
2023-05-03 05:05:10
Major
Statistics - Actuarial Science
Degree Name
Bachelor of Science
Date of Expected Graduation
Spring 2018
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.
Research Sponsor
Dr. Nao Mimoto
First Reader
Dr. Mark Fridline
Second Reader
Dr. Jun Ye
Recommended Citation
Gensel, Jeremy, "Catastrophe Modeling with Financial Applications" (2018). Williams Honors College, Honors Research Projects. 661.
https://ideaexchange.uakron.edu/honors_research_projects/661
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.