Online Program Home
  My Program

Abstract Details

Activity Number: 670 - Statistical Computing in Data Science
Type: Contributed
Date/Time: Thursday, August 3, 2017 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract #324707
Title: Florida Public Hurricane Model - Estimation of Extreme Losses
Author(s): Florence George* and Sneh Gulati and Shahid Hamid
Companies: Florida International University and Florida International University and Florida International University
Keywords: Picklands Estimator ; Hills Method ; Extreme loss
Abstract:

Natural disasters are increasing worldwide and consequently so are the economic losses caused by these events. Estimation of probable maximum loss is an important component of any loss model. In this paper, we investigate the use of semi-parametric methods to estimate Probable Maximum Loss (PML) for the Florida Public Hurricane Loss Model (FPHLM). Detailed analysis of the data shows that the annual losses from FPHLM do not tend to be very heavy tailed and therefore neither the popular Hill's method nor the Moment's estimator work well. However, Pickand's estimator with threshold around the 84th percentile provides a good fit for the extreme quantiles for the losses.


Authors who are presenting talks have a * after their name.

Back to the full JSM 2017 program

 
 
Copyright © American Statistical Association