Catastrophe Modeling¶
Grossi, P., & Kunreuther, H. (2005). Catastrophe Modeling: A New Approach to Managing Risk. Springer.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Exposure Creep
- Modelling the stake-placement process as a function of recency-weighted loss history is then a standard step — in catastrophe modelling, financial stress testing, and ecological vulnerability assessment — and the mechanism predicts that naive extrapolation of a historical-loss series will systematically underestimate future loss, because the stake is non-stationary while the historical series anchors expectations to past stakes.
This sourceEstablishes exposure-data construction as the load-bearing step in catastrophe modeling and shows that naive extrapolation of historical losses understates future loss because the exposed stake is non-stationary.
- Modelling the stake-placement process as a function of recency-weighted loss history is then a standard step — in catastrophe modelling, financial stress testing, and ecological vulnerability assessment — and the mechanism predicts that naive extrapolation of a historical-loss series will systematically underestimate future loss, because the stake is non-stationary while the historical series anchors expectations to past stakes.
Verification¶
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