A partir del modelo continuo de determinación de un índice de pérdidas por catástrofes para los Cat Bonds, desarrollado por Pérez-Fructuoso (2008 y 2009) y utilizando datos asociados a un conjunto de inundaciones ocurridas en España, se estima el parámetro fundamental del modelo propuesto, tasa instantánea de declaración de siniestros, aplicando una metodología alternativa de Mínimos Cuadrados con Restricciones y se comparan los resultados con los obtenidos utilizando la metodología tradicional de máxima verosimilitud. Adicionalmente, se obtiene la volatilidad que incorpora el proceso de Wiener en el modelo para la estimación realizada de la tasa de declaración y se verifica la bondad del ajuste mediante el cálculo de los correspondientes intervalos de confianza.
This paper proposes a continuous random modeling of catastrophic loss indexes underlying insurance-linked securities (ILS), by convolution of each catastrophic events amount of reported claims. This variable is calculated, in turn, as the difference between the catastrophes total severity, on one hand, and its amount of incurred-but-not-yet-reported claims, which is considered to be driven by a geometric Brownian motion, on the other hand. Parameters estimation and verification of the goodness-of-fit to a sample of data series on floods in Spain have subsequently been conducted in order to test the models validity.
This study analyzes the relationship between the entry path to a degree and the prior statistical competence of students taking a Statistics and Probability course at an online university. We assessed students' prior knowledge by administering a pretest of the information covered in the course analyzed. The sample includes 108 students from different schools of an online university. According to the statistical analysis, students have certain difficulty understanding some concepts related to Probability and Descriptive Statistics, and the entry path affects the students' understanding of these concepts.
This paper proposes a method for continuous-time random modeling of loss indextriggeredcatastrophe bonds (cat bonds) that simplifies both rating and pricing throughouttheir maturity period. This index is based on the amount of declared losses calculated as thedifference between the total amount of the catastrophe and that of incurred-but-not-yetreportedlosses, which is modeled by means of a geometric Wiener process. Thefundamental assumption of this model lies in considering that this amount decreasesproportionally to a function, hereby called the mixed-rate of claims statement, whichrepresents the pace of claim statements as growing linearly up to a certain moment, afterwhich it becomes constant until the bond reaches maturity.
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