Falk Niehörster

Working paper  23 May, 2019

Pricing ambiguity in catastrophe risk insurance

The authors of this paper apply a newly developed insurance pricing model to two catastrophe model data sets relating to hurricane risk in two locations in the Atlantic basin, estimating ambiguity loads – the extra insurance premium due to ambiguity – and showing how these depend on the insurer’s attitude to ambiguity. read more »

2014

Working paper  1 February, 2014

Probabilistic skill in ensemble seasonal forecasts

Operational seasonal forecasting centres employ simulation models to make probability forecasts of future conditions on seasonal to annual lead times. Skill in such forecasts is reflected … read more »

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