TY  - THES
A1  - Kubitza, Christian
T1  - Catastrophe modeling with a doubly stochastic process : Bayesian inference and applications
N2  - This work proposes to employ the (bursty) GLO model from Bingmer et. al (2011) to model the occurrence of tropical cyclones. We develop a Bayesian framework to estimate the parameters of the model and, particularly, employ a Markov chain Monte Carlo algorithm. This also allows us to develop a forecasting framework for future events.
Moreover, we assess the default probability of an insurance company that is exposed to claims that occur according to a GLO process and show that the model is able to substantially improve actuarial risk management if events occur in oscillatory bursts.
KW  - catastrophe modeling
KW  - Bayesian Inference
KW  - risk theory
KW  - poisson process
KW  - doubly stochastic point process
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/38298
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-382988
EP  - 115
ER  -