Title: A catastrophe model for insurance losses due to freeze events using vine copulas
Authors: Symeon Koumoutsaris - Guy Carpenter (United Kingdom) [presenting]
Abstract: The probability of extreme cold weather events in the United Kingdom is assessed as part of a probabilistic catastrophe model for insurance losses. Reanalysis data have been employed to construct the hazard part of the model, which is based on the Air Freezing Index, an index which accounts for both the magnitude and the duration of air temperature below freezing. Extreme value analysis is used to obtain return level predictions on a 1x1 degree grid. More importantly, the spatial dependence of the hazard between the grid cells has been assessed through a novel approach which takes advantage of the vine copula methodology. This approach allows the modelling of concurrent high AFI values across the country, which is necessary in order to assess the extreme behaviour of freeze events. Recognizing the non-stationary nature of climate extremes, the model also incorporates the effects of the North Atlantic Oscillation and climate change effects in the occurrence of cold spells. However, considerable uncertainty exists in these results, owing mainly to the short record length and the large interannual variability of the AFI.