Five-Year Prediction of the Number of Hurricanes Which Make U.S. Landfall

August 21, 2008
  • Contributors:

    Stephen Jewson, Enrica Bellone, Thomas Laepple, Kechi Nzerem, Shree Khare, Manuel Lonfat, Adam O'Shay, Jeremy Penzer, Katie Coughlin
  • Topic:

    Reinsurance

Hurricanes and Climate Change, 2009

Predicting the number of Atlantic hurricanes that make landfall in the U.S. is of great interest to the insurance and reinsurance industry. The authors discuss a number of forecast models based on inputs such as historical hurricane numbers in the Atlantic that reach landfall, historical hurricane numbers in the Atlantic basin and historical sea surface temperatures (SSTs). They seek to produce a broad range of models for hurricane experts to consider.

To keep things simple, the authors seek to minimize the root mean square error (RMSE) between the predicted and actual numbers of hurricanes. This provides a useful metric of comparison for parameter choices (like window lengths for calibration and extrapolation) as well as for model comparison. They also note that most of their analysis uses simple classical statistical methods, which have the benefit of transparency. One of their goals is to introduce methods that can be widely understood by meteorologists, climate modelers and insurance industry practitioners.

The authors write that their simple suite of models achieves this transparency as well as provides a broad range of predictions representing the various scientific theories that may be involved in predicting annual average hurricane numbers over the next five years.



  • The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.

    This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.

  • Certain publications may have been written prior to the author being an employee of AQR.