A statistical procedure for estimating the risk of strong winds from hurricanes, known as the Hurricane Risk Calculator, is demonstrated and applied to several major cities in Louisiana. The procedure provides an estimate of wind risk over different length periods and can be applied to any...

Hurricanes pose serious threats to people and infrastructure along the United States Gulf and Atlantic coasts. The risk of the strongest hurricane winds over the North Atlantic basin is analyzed using a statistical model from extreme value theory and a tessellation of the domain. The spatial...

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...

US coastal cities are regularly subjected to destruction by tropical cyclones. The risk of tropical cyclone winds varies along the length of the coastline. We analyze landfalling North Atlantic basin tropical cyclones whose intensities are considered extreme relative to their landfall location....