A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes
This work aims to forecast (over 1, 5, and 15 years) the extremes, the expected value, and the volatility of natural disasters occurrences. To achieve this objective, we adopt a generalized two‐factor square‐root model linking together occurrences and volatility through stochastic correlation (Brown...
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| Veröffentlicht in: | Journal of forecasting 2022-12, Vol.41 (8), p.1608-1622 |
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| container_title | Journal of forecasting |
| container_volume | 41 |
| creator | Orlando, Giuseppe Bufalo, Michele |
| description | This work aims to forecast (over 1, 5, and 15 years) the extremes, the expected value, and the volatility of natural disasters occurrences. To achieve this objective, we adopt a generalized two‐factor square‐root model linking together occurrences and volatility through stochastic correlation (Brownian motion). We use a generalized Pareto distribution (GPD) to forecast the maximum number of occurrences as a measure of value at risk (VaR). The results are checked in terms of accuracy, compared versus some baseline models (i.e., the Poisson process and the extreme value model) and backtested. |
| doi_str_mv | 10.1002/for.2880 |
| format | Article |
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| ispartof | Journal of forecasting, 2022-12, Vol.41 (8), p.1608-1622 |
| issn | 0277-6693 1099-131X |
| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | Extremes forecasting model evaluation natural catastrophes Natural disasters selection validation |
| title | A generalized two‐factor square‐root framework for modeling occurrences of natural catastrophes |
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