Multiplicative cascade models for rain in hydro-meteorological disasters risk management

We strongly believe that we should incorporate the information provided by geophysical sciences in insurance mathematics. This article is a first step in this direction. We provide a review of key results for multifractal models of rain and discuss their potential/relevance for hydro-meteorological disaster risk management. As a main result, we obtain an asymptotic expression for the tail probability of the return period that we derived from Intensity-Duration-Frequency curves under the assumption of multifractality.

Keywords: risk management, rainfall, flooding, multiplicative cascades, IDF curves.