飓风对房地产投资组合的影响:基于葡萄牙损失数据的实证研究

IF 1.9 Q2 BUSINESS, FINANCE

Managerial Finance Pub Date : 2023-10-13 DOI:10.1108/mf-03-2023-0163

Andrea Hauser, Carlos Rosa, Rui Esteves, Lourdes Bugalho, Alexandra Moura, Carlos Oliveira

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引用次数: 0

摘要

目的模拟的情景可用于计算投资组合中每个风险类别的风险溢价。然后，这些数据可以用来通过考虑风暴风险来调整保单保费。设计/方法/方法提出了一个完整的模型来分析和描述保险公司因飓风造成的财产投资组合的未来损失。该模型通过使用Fidelidade保险公司财产投资组合的损失数据进行校准，该数据是由2018年10月袭击葡萄牙大陆中心的飓风莱斯利造成的。研究结果模拟了几种场景，构建了风险图。公司的风险图取决于其投资组合，特别是其敞口，并为保险公司提供了飓风风险管理工具。原创性/价值考虑一个统计模型，其中不需要天气数据。作者通过登记的索赔和各自的损失重建了风暴的行为。

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The impact of hurricanes on a property portfolio: an empirical study based on loss data in Portugal

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.

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来源期刊

Managerial Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

12.50%

发文量

103

期刊介绍： Managerial Finance provides an international forum for the publication of high quality and topical research in the area of finance, such as corporate finance, financial management, financial markets and institutions, international finance, banking, insurance and risk management, real estate and financial education. Theoretical and empirical research is welcome as well as cross-disciplinary work, such as papers investigating the relationship of finance with other sectors.