Browsing by Author "Oliveira, Carlos"
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- Building a hurricane risk map for continental Portugal based on loss data from hurricane LesliePublication . Hauser, Andrea; Rosa, Carlos; Esteves, Rui Esteves; Moura, Alexandra; Oliveira, CarlosA complete model to analyse and predict future losses in the property portfolio of an insurance company due to hurricanes is proposed. A novel statistical model, in which weather data is not required, is considered. Climate data may not be reliable, or may be difficult to deal with or to obtain, hence we reconstruct the storm behaviour through the registered claims and respective losses. The model is calibrated using the loss data of the property portfolio of the insurance company Fidelidade, from hurricane Leslie, which hit the center of continental Portugal in October 2018. Several scenarios are simulated and risk maps are built. The simulated scenarios can be used to compute risk premiums per risk class in the portfolio. These can be used to adjust the policy premiums accounting for a storm risk. The risk map of the company also depends on its portfolio, namely its exposure, providing a hurricane risk management tool for the insurance company.
- Reputation risk mitigation in investment strategiesPublication . Moura, Alexandra; Oliveira, CarlosWe consider an investment model in which a firm decides to invest in the market, taking into account its future revenue and the possible occurrence of adverse events that may impact its reputation. The firm can buy an insurance contract at the investment time to mitigate reputation risk. The firm decides when to enter the market and the insurance strategy that maximizes its value. We consider three types of insurance contracts and different premium principles. We provide analytical conditions for the optimum and study several numerical examples. Results show that the firm’s optimal strategy depends on the risk size, the firm’s risk aversion, and the insurance premium.