何树红, 王巍, 邹丽华. 基于极值理论的低温雪冻灾害损失分布研究——以云南省为例[J]. 云南大学学报(自然科学版), 2017, 39(1): 7-12. doi: 10.7540/j.ynu.20160396
引用本文: 何树红, 王巍, 邹丽华. 基于极值理论的低温雪冻灾害损失分布研究——以云南省为例[J]. 云南大学学报(自然科学版), 2017, 39(1): 7-12. doi: 10.7540/j.ynu.20160396
HE Shu-hong, WANG Wei, Zou Li-hua. A study of low-temperature snow and ice disaster loss model based on the extreme value theory——the case of Yunnan Province[J]. Journal of Yunnan University: Natural Sciences Edition, 2017, 39(1): 7-12. DOI: 10.7540/j.ynu.20160396
Citation: HE Shu-hong, WANG Wei, Zou Li-hua. A study of low-temperature snow and ice disaster loss model based on the extreme value theory——the case of Yunnan Province[J]. Journal of Yunnan University: Natural Sciences Edition, 2017, 39(1): 7-12. DOI: 10.7540/j.ynu.20160396

基于极值理论的低温雪冻灾害损失分布研究——以云南省为例

A study of low-temperature snow and ice disaster loss model based on the extreme value theory——the case of Yunnan Province

  • 摘要: 选取巨灾风险中的低温雪冻灾害进行系统研究.根据2004—2013年云南省低温雪冻灾害损失数据,利用损失数据的厚尾分布特征,采用极值理论中基于GPD分布的POT模型对灾害损失额进行拟合,并计算风险价值VaR和预期尾部损失ES,验证低温雪冻灾害损失服从的极值分布,对巨灾保险产品的设计和定价具有重要的意义.

     

    Abstract: It is researched the low-temperature snow and ice disaster in catastrophe risk.Based on the data of the loss of low temperature and snow disaster in Yunnan Province from 2004 to 2013 and the thick tail distribution of the loss data,the POT model based on the GPD distribution in the extreme value theory was used to fit the disaster loss.Then,we calculated the VaR and expected Loss of ES.We verified the extreme value distribution of the low-temperature snow and ice disaster losses,and it is significant to the design and pricing of catastrophe insurance products.

     

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