Climate change has posed significant challenges to socioeconomic systems across the world, with the insurance industry at the forefront of facing climate risks. Yue Shi’s thesis aims to assess the impacts of climate change on home insurance claims in three self-contained chapters.

The first chapter concentrates on the short-term dynamics between extreme rainfall events and their subsequent damage to private buildings. The study utilizes the bivariate peak-over-threshold method to measure the extremal dependence between diverse rainfall variables and claim frequency for the two largest municipalities in Norway. The findings suggest that (in general) rain intensity and daily rainfall amounts have a greater impact on large insurance claims than rainfall accumulation for both municipalities. Moreover, the study detects regional differences in the importance of rainfall variables in explaining extreme insurance claims.

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The second chapter analyzes the temporal structure of rainfall-related home insurance claims in Norway, applying a hidden semi-Markov model to capture their non-Gaussian nature and temporal dynamics of these claims. By examining a broad range of candidate distributions and assessing the goodness-of-fit and commonly used risk measures, the authors identify an appropriate model for effectively representing insurance losses caused by rainfall-induced property damage. The model estimates reveal that the risks associated with heavy rain in the context of home insurance have exhibited an upward trend between 2004 and 2020, consistent with the broader evidence of a changing climate.

The third chapter introduces a retrospective approach to reconstruct historical claim profiles using high-resolution weather data. It offers a comprehensive analysis of water-related claims in private buildings and investigates a wide spectrum of weather-induced impacts, ranging from localized incidents caused by intense rainfall to large-scale events such as storms. In addition, the authors evaluate both reactive and proactive pricing strategies based on the retrospective analysis, providing actionable insights for insurers to adjust premiums in response to evolving climate risks.

The Long-Term Effects of Educational Policies

On Monday 31 March 2025 Daniel Vasconcellos Archer Duque will hold a trial lecture on a prescribed topic and defend his thesis for the PhD degree at NHH.

Title of the thesis:

Statistical modeling of climate risk in home insurance claims

Supervisors:

Associate Professor Håkon Otneim (main supervisor), Department of Business and Management Science, NHH

Associate Professor Geir Drage Berentsen, Department of Business and Management Science, NHH

Prescribed topic for the trial lecture:

Multivariate risk modelling and its use in evaluating environmental risk

Trial lecture and defense:

Aud M

Members of the evaluation committee:

Professor Lars Jonas Andersson (leader of the committee), Department of Business and Management Science, NHH

Professor Francesco Lagona, Roma Tre University

Associate Professor Ingrid Hobæk Haff, University of Oslo

The trial lecture and thesis defense will be open to the public.

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