On flood risk pooling in Europe

Details

Ressource 1Download: BIB_D993773DBF96.P001.pdf (1122.12 [Ko])
State: Public
Version: author
Serval ID
serval:BIB_D993773DBF96
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On flood risk pooling in Europe
Journal
Natural Hazards
Author(s)
Prettenthaler F., Albrecher H., Asadi P., Köberl J.
ISSN
0921-030X
1573-0840
Publication state
Published
Issued date
08/2017
Peer-reviewed
Oui
Volume
88
Number
1
Pages
1-20
Language
english
Abstract
In this paper, we review and discuss some challenges in insuring flood risk in Europe on the national level, including high correlation of damages. Making use of recent advances in extreme value theory, we, furthermore, model flood risk with heavy-tailed distributions and their truncated counterparts and apply the discussed techniques to an inflation- and building-value-adjusted annual data set of flood losses in Europe. The analysis leads to Value-at-Risk estimates for individual countries and for Europe as a whole, allowing to quantify the diversification potential for flood risk in Europe. Finally, we identify optimal risk pooling possibilities in case a joint insurance strategy on the European level cannot be realized and quantify the resulting inefficiency in terms of additional necessary solvency capital. Thus, the results also contribute to the ongoing discussion on how public risk transfer mechanisms can supplement missing private insurance coverage.
Keywords
Earth and Planetary Sciences (miscellaneous), Atmospheric Science, Water Science and Technology, Flood risk, europe, Risk pooling, Risk transfer mechanism, EVT techniques, Value at Risk (VaR), Expected shortfall (ES), Joint risk pooiling initiatives (JRPIs), Solvency II
Web of science
Open Access
Yes
Create date
08/09/2016 22:14
Last modification date
20/08/2019 15:58
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