Mathematics

February 02, 2008

Data for Reinsurance and Catastrophe Bonds: Normalized Hurricane Damage

http://sciencepolicy.colorado.edu/admin/publication_files/resource-2476-2008.02.pdf

Abstract: After more than two decades of relatively little Atlantic hurricane activity, the past decade saw heightened hurricane activity and more than $150 billion in damage in 2004 and 2005. This paper normalizes mainland U.S. hurricane damage from 1900–2005 to 2005 values using two methodologies. A normalization provides an estimate of the damage that would occur if storms from the past made landfall under another year’s societal conditions. Our methods use changes in inflation and wealth at the national level and changes in population and housing units at the coastal county level. Across both normalization methods, there is no remaining trend of increasing absolute damage in the data set, which follows the lack of trends in landfall frequency or intensity observed over the twentieth century. The 1970s and 1980s were notable because of the extremely low amounts of damage compared to other decades. The decade 1996–2005 has the second most damage among the past 11 decades, with only the decade 1926–1935 surpassing its costs. Over the 106 years of record, the average annual normalized damage in the continental United States is about $10 billion under both methods. The most damaging single storm is the 1926 Great Miami storm, with $140–157 billion of normalized damage: the most damaging years are 1926 and 2005. Of the total damage, about 85% is accounted for by the intense hurricanes Saffir-Simpson categories 3, 4, and 5, yet these have comprised only 24% of the U.S. landfalling tropical cyclones. Unless action is taken to address the growing concentration of people and properties in coastal areas where hurricanes strike, damage will increase, and by a great deal, as more and wealthier people increasingly inhabit these coastal locations.

Reinsurance and Catastrophe Bonds: Cyclostationary Processes

Cyclostationarity: Half a century of research

Abstract

In this paper, a concise survey of the literature on cyclostationarity is presented and includes an extensive bibliography. The literature in all languages, in which a substantial amount of research has been published, is included. Seminal contributions are identified as such. Citations are classified into 22 categories and listed in chronological order. Both stochastic and nonstochastic approaches for signal analysis are treated. In the former, which is the classical one, signals are modelled as realizations of stochastic processes. In the latter, signals are modelled as single functions of time and statistical functions are defined through infinite-time averages instead of ensemble averages. Applications of cyclostationarity in communications, signal processing, and many other research areas are considered.

TI-89: Solving Continuous-Time Markov Chain Stationary Distribution

Calculates the stationary distribution of a CTMC by solving for the probability-normalized left-eigenvector of the infinitesimal generator corresponding to the zero eigenvalue. Assumes the chain is irreducible and the generator is not ill-conditioned.

rates: infinitesimal generator matrix G such that g_ij = rate of transition from i to j, g_ii = sum_{i=/=j} g_ij

1: ctmch()
2: Prgm
3: (eigVc(rates^T))^T[1]->u
4: (abs(w)/rowNorm(w))^T->v
5: Disp v
6: EndPrgm

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