Application of extreme value theory to hail risk assessment and management: a study in spanish wine grapes insurance

Abstract

Spanish crop insurance is a remarkably well-organized business organized around the coinsurance pool Agroseguro. Concerns on management in Spanish Crop insurance system have arisen motivated by the scientific discussion on climatic change. Linking this climate change to the evolution of key insurance figures, like premiums or, has become an important research for insurance industry. Before the above-mentioned task, the evolution of the severities extreme behavior must be investigated to enlighten tendencies.We consider hail risk particularized to the line of Spanish wine grapes. We assess its evolution using data collected from 1990 to 2022. We are interested in extreme behavior, so we apply Extreme Value tools to study the asymptotic evolution of the excesses over thresholds. We analyze the evolution through the years of the thresholds and the characteristics of the asymptotic distribution of the excesses.