A Hydro-EVT Approach to Flood Insurance Pricing

Authors

Chaopeng Shen, PhD

Zhongyi Yuan, ASA, PhD

Description

The research provides a modeling framework for assessing the inundation risk of properties and their expected flood damages, thereby laying a foundation for flood insurance pricing. The researchers studied over 50 years of claims data from the National Flood Insurance Program with 2.5 million records and identified property characteristics that predict flood damages for inundated properties. The development of a private flood insurance market benefits from insurers’ ability to better understand and price flood risk. This research takes a closer look at flood risk modeling and flood insurance pricing.

Materials

A Hydro-EVT Approach to Flood Insurance Pricing
A Hydro-EVT Approach to Flood Insurance Pricing R Code and Sample Data.zip
A Hydro-EVT Approach to Flood Insurance Pricing - Simplified Chinese

Acknowledgments

The researchers’ deepest gratitude goes to those without whose efforts this project could not have come to fruition: the Project Oversight Group and others for their diligent work overseeing questionnaire development, analyzing and discussing respondent answers, and reviewing and editing this report for accuracy and relevance.

Project Oversight Group members:
R. Dale Hall, FSA, MAAA, CERA, CFA
Steve Kolk, ACAS, MAAA
Andrea Marcovici, FSA, PhD
Jianxi Su, FSA, PhD
Kenneth Wolstrup

At the Society of Actuaries:
W. Scott Lennox, FSA, FCAS, FCIA, Staff Fellow – General Insurance
Rob Montgomery ASA, MAAA, FLMI, Consultant – Research Project Manager
Erika Schulty, Research Administrator

The researchers would like to also acknowledge the excellent research assistance provided by:
Farshid Rahmani
Weilun Zhang, ASA

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