California earthquake loss ratios

Loss ratios for earthquake insurance in California between 1971 and 1994.

Usage

data(usquakeLR)

Format

usquakeLR is a data frame of 2 columns and 24 rows:

Year

Year of the earthquake.

LossRatio

Loss ratio.

References

Jaffee, D.M. and Russell, T. (1996), Catastrophe Insurance, Capital Markets and Uninsurable Risks, Philadelphia: Financial Institutions Center, The Wharton School, p. 96-112, doi:10.2307/253729 .

Embrechts, Resnick and Samorodnitsky (1999). Extreme Value Theory as a Risk Management Tool, North American Actuarial Journal, Volume 3, Number 2, doi:10.1080/10920277.1999.10595797 .

Examples

# (1) load of data
#
data(usquakeLR)

# (2) plot log scale
#
plot(usquakeLR$Year, usquakeLR$LossRatio+1e-3, 
ylim=c(1e-3, 1e4), log="y", ylab="Loss Ratio", xlab="Year")