HURRICANE RISK MANAGEMENT WITH CLIMATEAND CO2 INDICES
提出一个结合气候和二氧化碳指数的机制转换泊松过程来模拟飓风频率，发现两状态模型预测误差比现有方法低60-75%，再保险保费定价误差低35-54%。
A BSTRACT We propose a regime‐switching Poisson process incorporating climate and carbon dioxide (CO 2 ) indices (RPCM) to model hurricane frequency. Model accuracy shows that two‐state RPCM (2‐RPCM) is superior to the existing climate methods, as forecast errors under 2‐RPCM are smaller than previous models by about 60–75 percent. We derive the pricing formula of reinsurance premiums by assuming the aggregate loss following the regime‐switching compound process. Pricing errors under 2‐RPCM for reinsurance premiums are 35–54 percent lower than those from previous models. The climate and regime‐switching effects dominate the CO 2 effect in reducing pricing errors and producing more effective tail value at risk.