Pricing flood insurance with a hierarchical physics-based model

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24510‎$a‎Pricing flood insurance with a hierarchical physics-based model‎$c‎Mathieu Boudreault...[Et al.]
520  ‎$a‎Floods account for a large part of global economic losses from natural disasters. As a result, the private insurance sector is increasingly participating in the financial risk sharing, thus expanding the role of actuaries to flood risk management. In this article, we investigate pricing and spatial segmentation of flood risk in the context of private insurance, meaning that individual risk assessment should minimize adverse selection. As such, we design a hierarchical flood risk model that allows an assessment at the individual level. Our model relies on a chain of physics-based climate, hydrological, and hydraulics modules combined with civil engineering methods to map the distribution of individual flood losses at high resolution. Building on such approach, we design pricing and segmentation methods tailored for flood risk management. We then apply the methods to study flood risk in a small city in the province of Quebec. We calculate premiums, analyze the impacts of risk sharing, set pricing territories consistent with the spatial flood risk, and finally, quantify the impact of greenhouse gas emission scenarios on individual and aggregate losses, premiums, and tail risk measures.
650 4‎$0‎MAPA20080562922‎$a‎Inundaciones
650 4‎$0‎MAPA20080590291‎$a‎Desastres naturales
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080582418‎$a‎Riesgo financiero
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080615277‎$a‎Riesgos de la naturaleza
650 4‎$0‎MAPA20090025479‎$a‎Distribución de pérdidas
700  ‎$0‎MAPA20090011267‎$a‎Boudreault, Mathieu
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/06/2020 Tomo 24 Número 2 - 2020 , p. 251-274