Content area
Purpose
The simulated scenarios can be used to compute risk premiums per risk class in the portfolio. These can then be used to adjust the policy premiums by accounting for storm risk.
Design/methodology/approach
A complete model to analyse and characterise future losses of the property portfolio of an insurance company due to hurricanes is proposed. The model is calibrated by using the loss data of the Fidelidade insurance company property portfolio resulting from Hurricane Leslie, which hit the centre of continental Portugal in October, 2018.
Findings
Several scenarios are simulated and risk maps are constructed. The risk map of the company depends on its portfolio, especially its exposure, and provides a Hurricane risk management tool for the insurance company.
Originality/value
A statistical model is considered, in which weather data is not required. The authors reconstruct the behaviour of storms through the registered claims and respective losses.
Details
1 Fidelidade Companhia de Seguros SA, Lisbon, Portugal
2 IPMA, Lisbon, Portugal
3 CEMAPRE and ISEG Lisbon School of Economics and Management, Lisbon, Portugal
4 Department of Mathematics, Instituto Superior de Economia e Gestão, Universidade de Lisboa, Lisbon, Portugal; Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Trondheim, Norway