rms north atlantic hurricane models€¦ · 12/05/2017 · 1 rms® north atlantic hurricane models...

1

RMS® NORTH ATLANTIC HURRICANE MODELS RiskLink 17.0 (Build 1825)Overview

Tom Sabbatelli

FCHLPM 2015 StandardsPublic Hearing

March 16-19, 2015

Newark, CA

22

MODEL OVERVIEW

3Copyright © 2017 Risk Management Solutions, Inc. All Rights Reserved. May 12, 2017

FRAMEWORK FOR HURRICANE MODELLING

Generate Stochastic

Events

AssessHazard

CalculateDamage

Quantify Financial

LossBasin-wide track and parameter simulation and calibrationPressure history simulation and calibration Importance sampling of simulated tracks

Time-stepping wind field calculationsDirectional factors for surface roughnessVariable Resolution Grid data resolution

Engineering model calibrated with historical claimsHundreds of vulnerability classes based on material, height, occupancy, and year builtMitigation measures

Allocates loss to policy holder, insurer, reinsurer


Hazard:

SampleStorms

Create StochasticTracks

Landfall Rates

Calculate SurfaceRoughness

CalculateWind Field

AssignWind Field

0Distance from track (km)lo

wer

----

-win

d sp

eed

----

-hig

her

Event Set Generation:

CAT 1-2 CAT 3-5

CAT 1-2 CAT 3-5

FROM HISTORIC STORMS TO STOCHASTIC WIND FIELDS


VULNERABILITY MODULE METHODOLOGY

Over 1,750 base curves per region (including all residential and commercial lines) developed separately for building and contents based on a combination of:

– Construction class

– Occupancy

– Building height

– Year of construction

– Floor area

Approximately 500 curves are applicable to residential lines, including multi-family and manufactured homes


SECONDARY CHARACTERISTICS

Building specific attributes or mitigation measures

Modeled by scaling vulnerability functions up or down from the unknown vulnerability curve

• Construction Quality • Roof Covering • Roof Age and Condition • Roof Geometry • Roof Anchors • Roof Equipment Hurricane Bracing • Basement • Commercial Appurtenant Structures • Cladding Type • Roof Sheathing Attachment • Frame-Foundation Connection • Residential Appurtenant Structures • Ground-Level Equipment • Opening Protection • Flashing and Coping Quality


VALIDATION AGAINST INDUSTRY LOSSES COMPARISON IN STANDARD S-5, PAGE 103


COMPARISON TO PORTFOLIO LOSSES―FLORIDA RESIDENTIALCOMPARISON IN STANDARD S-5, PAGE 104

The results are normalized such that the maximum actual loss = $1,000,000 to protect client confidentiality

1

RMS® NORTH ATLANTIC HURRICANE MODELS

RiskLink 17.0 (Build 1825)Standards

FCHLPM 2015 StandardsPublic Hearing

March 16-19, 2015

Newark, CA

2Copyright © 2017 Risk Management Solutions, Inc. All Rights Reserved. 2

CHANGES IN SUBMISSION


RISKLINK 17.0 SUBMISSION TIMELINENov 2016

Jan 2017

May 2017

Submission of RiskLink v17.0 (Build 1825)

Deficiencies Corrected

FCHLPM Public Hearing

April 2017 Onsite Audit


• Revised Disclosure 5 in Standard G-3 regarding the process for updating ZIP Code databases

• Revised Disclosure 6 in Standard S-1 to include goodness-of-fit results for Amax

• Revised Disclosure 8 in Standard V-1 regarding the relationship between structural and appurtenant structure vulnerability functions and consistency with insurance claims data

• Revised Standard V-3.A regarding the impact of mitigation measures on associated uncertainties

• Revised Disclosure 2 in Standard A-1 to provide sample calculation for determining the amount of depreciation and the actual cash value

DEFICIENCIES CORRECTED

Deficiencies noted by the commission were addressed and sent to the commission January 3, 2017.


• G-1.4: Additional Meteorological Standards references• G-1.5A: Included revision of methodology to assign primary

county to ZIP Codes• G-1.5A: Clarified updates to secondary modifiers and building

inventory• G-1.5B: Clarified the build used for comparisons• M-2.4: Added language about hurricane parameter treatment

in historical and stochastic storm sets• V-1.2: Updated formatting of flowchart in Figure 43• V-1.3: Corrected amounts of loss data for manufactured homes

and multi-family dwellings• V-2.2: Added Figure 45 to describe process for deriving and

implementing contents vulnerability functions• V-2.5: Updated formatting of flowchart in Figure 46

CORRECTIONS DURING ONSITEAUDIT

All corrections reviewed with Professional Team during onsite visit, week of April 10, 2017


• V-3.1: Clarified Residential and Commercial Appurtenant Structures secondary modifier updates

• V-3.3: Clarified intended usage of Residential and Commercial Appurtenant Structures secondary modifiers

• Form A-8: Clarified FCHC exposure used in Parts B and C (caption text)

CORRECTIONS DURING ONSITEAUDIT (CONT.)

All corrections reviewed with Professional Team during onsite visit, week of April 10, 2017


REVISIONS TO MODEL


STATEWIDE MODEL CHANGEFORM S-5: AAL ZERO DEDUCTIBLE LOSS COST (TABLE 32, PAGE 197)

Statewide zero deductible AAL on FHCF aggregate exposure (personal and commercial residential combined) reduces by approximately 1.5%

– Based on 2012 FHCF exposure

Time Period Produced by ModelCurrent Submission $3.78 billionPrevious Year $3.84 billionPercentage Change -1.51%


STATEWIDE CHANGES BY MODEL COMPONENTSTANDARD G-1.5 (TABLE 1, PAGE 35)

Zero deductible statewide loss cost

– Based on 2012 FHCF exposure

Changes come from both hazard and vulnerability updates

Statewide Percentage Difference

Component Module

Geocoding Hazard Vulnerability

-1.5% 0.0% -1.0% -0.6%

10Copyright © 2017 Risk Management Solutions, Inc. All Rights Reserved. May 12, 2017Copyright © 2017 Risk Management Solutions, Inc..

LIST OF CHANGES IN G-1.5.A December 2015 postal code vintage data has been

incorporated as per our policy to update geocoding data at least every 24 months

Integration of U.S. Postal Service (USPS) street information to supplement existing street geocoding files, leading to more accurate and confident street matching

Revision of methodology to assign primary county to ZIP Codes, based on residential census data

GEOCODING


LIST OF CHANGES IN G-1.5.A

GEOCODINGFIGURE 4, PAGE 36


LIST OF CHANGES IN G-1.5.A Update of stochastic long-term rates

– Based on HURDAT2 as of September 2015

– Reanalysis of 1946-1955 data

Historical footprint recreation updates

– 12 historical reconstructions updated

Surface roughness data update

HAZARD


LONG-TERM RATES AND HISTORICAL

RECONSTRUCTIONS September 2015 HURDAT2 vintage

– Two new seasons

– 1946-55 reanalysis

12 historical reconstructions updated

HAZARD UPDATES

LONG-TERM RATES HISTORICAL RECONSTRUCTIONS

Version 15 Version 17Years 1900-2012 1900-2014

HURDAT2Reanalysis Up to 1945 Up to 1955** Prior updates to HURDAT have been reflected in previous releases

Hurricane King (1950)

RiskLink 15 RiskLink 17


HAZARD UPDATES

Surface roughness data update

– Comparison of RMS database to NLCD 2011 database to identify regions where land-use data differed

– Version 17.0 land-use data updated where necessary



HAZARDFIGURE 5, PAGE 37

Long-term rates

Surface roughness data (LULC)


LIST OF CHANGES IN G-1.5.A Primary characteristic updates

– Improvement of mobile/manufactured home vulnerability modeling

– Recalibration of multi-family dwelling (MFD) vulnerability and inventory, including updates to condominium (association and unit owner) lines

– Introduction of unique damage curves for unreinforced masonry (URM) and reinforced masonry (RM) construction classes

Secondary characteristic updates

– Activation of construction quality secondary characteristic for mobile/manufactured homes

– New values for secondary characteristics, including roof covering, roof equipment hurricane bracing, commercial appurtenant structures, wall cladding type, and residential appurtenant structures

VULNERABILITY


VULNERABILITY UPDATES

Manufactured homes

– Differentiation by HUD zone

– New year-built band for homes with tie-downs

– Based on new claims data, reanalysis of existing claims data, and IBHS research

– Construction Quality secondary modifier activated

• Infers quality of tie-down systems, including retrofits, enhancements, or corrosion

Year-Built BandsBefore 19761976–19941995–2008

2009 or later



Multi-family dwellings

– Updates based on insides from analytical modeling and limited claims data

– Comparative study of MFDs

• Low-rise, with SFDs

• High-rise, with offices and hotels



Newly-supported masonry construction classes

– Based on IBHS testing

– Ultimate loss changes dependent upon year of construction

• Unreinforced masonry more prevalent in older years

• Reinforced masonry more prevalent in later years



VULNERABILITYFIGURE 6, PAGE 38

Manufactured homes

Multi-family dwellings



TOTAL CHANGEFIGURE 7, PAGE 40

Geocoding

Hazard

Vulnerability


STANDARDS


Standards Section

– General

– Meteorology

– Statistics

– Vulnerability

– Actuarial

– Computer/Information

OUTLINE


GENERAL STANDARDS


• Model version number: RiskLink 17.0 (Build 1825)• Scope of the model includes personal and commercial

residential risks• Updates made to model as described in model overview

session earlier and submission document in G-1.5• RMS maintains a documented process for the model

Standard Verified

STANDARD G-1: SCOPE OF THE COMPUTER MODEL AND ITS IMPLEMENTATION


• Employee/client statistics and biographies updated

• Professional credentials updated to reflect changes in the model team and relevant employment status relating to current or previous model development

• Previous Independent Peer Reviews continue to be relevant to current model version

• Forms G-1 to G-7 Expert Certifications updated with each revision cycle

Standard Verified

STANDARD G-2: QUALIFICATIONS OF MODELER PERSONNEL AND CONSULTANTS


• ZIP Code data vintage is December 2015 –United States Postal Service (USPS)

• ZIP Code information is examined by RMS for consistency and is subject to standardized quality control testing and checking by experts employed by RMS for that purpose

• If a building location is entered as a ZIP Code, the RMS model uses wind speeds that are exposure weighted averages of wind speeds throughout the ZIP Code, based on population data

Standard Verified

STANDARD G-3: RISK LOCATION


• The vulnerability, meteorological, and actuarial model components are theoretically sound and each has been thoroughly and independently tested and calibrated

• They have also been tested in an integrated way to ensure that the relationships between the components are reasonable

Standard Verified

STANDARD G-4: INDEPENDENCE OF MODEL COMPONENTS


• All documents provided to the Commission throughout the review process were reviewed and edited by a person or persons with experience in reviewing technical documents

• Submission document is managed with the same source control system used on the computer code and development tools

• Form generation process is documented, including flow charts

Standard Verified

STANDARD G-5: EDITORIAL COMPLIANCE


METEOROLOGICAL STANDARDS


• The frequency of the stochastic set used by RMS in both calibration and validation is consistent with National Hurricane Center HURDAT2 data as of June 9, 2015 or later

– Model developed and validated with HURDAT2 data as of September 2015

– No short term or long term modifications made to historical data

Standard Verified

STANDARD M-1: BASE HURRICANE STORM SET


• Hurricane parameters and characteristics in the RMS model are modeled and validated using information documented in accepted literature.

• The windfield model directly simulates surface winds as 1-minute mean winds over water.

• Representation of storm parameters unchanged from previous model

Standard Verified

STANDARD M-2: HURRICANE PARAMETERS AND CHARACTERISTICS


• Hurricane probability distributions of hurricane parameters and characteristics are consistent with historical hurricanes in the Atlantic basin.

• Modeled landfall frequencies are consistent with what has been observed historically for each geographical area of Florida and neighboring states.

• Hurricane intensities in the Base Hurricane Storm Set and model are defined using the maximum one-minute sustained 10-meter wind speed.

Standard Verified

STANDARD M-3: HURRICANE PROBABILITIES


• No change in windfield methodology from previous model

• Windfields generated by the model are consistent with observed historical storms which affected Florida.

• LULC roughness layer has been updated to be consistent with NLCD 2011

• Reviewed updated historical recreations with professional team.

Standard Verified

STANDARD M-4: HURRICANE WINDFIELDSTRUCTURE


• No change in treatment of over-land decay from previous model.

• Over-land weakening methodologies are consistent with historical records and advances the current state-of-the-science.

– RMS’ methodology has been published in Monthly Weather Review Vol. 138, No. 6. (Colette et al. June 2010)

• Transition of winds from water to land is consistent with state-of-the-science and validated against measurements published in Masters (2004).

Standard Verified

STANDARD M-5: LANDFALL AND OVER-LAND WEAKENING METHODOLOGIES


• Windfield is physically consistent with accepted scientific principles and historical hurricane characteristics

– Magnitude of asymmetry increases as translation speed increases all other factors held constant

– Mean wind speed decreases with increasing roughness all other factors held constant

– Logical relationship between hurricane parameters reviewed with the professional team

Standard Verified

STANDARD M-6: LOGICAL RELATIONSHIPS OF HURRICANE CHARACTERISTICS


STATISTICAL STANDARDS


• RMS uses empirical methods in model development and implementation to match stochastic storm generation to historical data. These methods are supported by those described in currently accepted scientific literature

• The chosen distributions have been shown to have reasonable agreement with the historical data

• The changes in historical data and corresponding changes in p-values for various goodness of fit tests were reviewed with the pro-team.

• Wind speeds have been extensively validated against available data

• All required forms provided

Standard Verified

STANDARD S-1: MODELED RESULTS AND GOODNESS-OF-FIT


• RMS has assessed the sensitivity of temporal and spatial outputs with respect to the simultaneous variation of input variables using currently accepted scientific and statistical methods

• The most sensitive aspects of the model are the intensity and size of the hurricane at landfall

• Form S-6 has been provided with a previous submission.

Standard Verified

STANDARD S-2: SENSITIVITY ANALYSIS FOR MODELED OUTPUT


• RMS has performed an uncertainty analysis on the temporal and spatial outputs with respect to the simultaneous variation of input variables using currently accepted scientific and statistical methods

• The major contributors to the uncertainty in model outputs are the intensity and size of the hurricane at landfall

• Form S-6 has been provided with a previous submission.

Standard Verified

STANDARD S-3: UNCERTAINTY ANALYSIS FOR MODELED OUTPUT


• The standard error of each output range at the county level of aggregation is less than 2.5% of the loss cost estimate

• Reviewed continued compliance with the professional team

Standard Verified

STANDARD S-4: COUNTY LEVEL AGGREGATION


• The RMS model is able to reliably and without significant bias reproduce incurred losses on a large body of past hurricanes, both for personal residential and commercial residential

• Form S-4 has been provided

Standard Verified

STANDARD S-5: REPLICATION OF KNOWN HURRICANE LOSSES


• The difference between historical and modeled annual average statewide loss costs is statistically reasonable, given the body of data, by established statistical expectations and norms.

• Form S-5 has been provided

Standard Verified

STANDARD S-6: COMPARISON OF PROJECTED HURRICANE LOSS COSTS


VULNERABILITY STANDARDS


A. Vulnerability functions are based on well-supported structural and wind engineering principles and detailed analyses of historical claims data

– Over $11 billion of hurricane loss data from the U.S. used in the development and calibration of the vulnerability functions

– A breakdown of the loss data by occupancy and coverage type was presented to the Professional Team

B. The methods used to derive vulnerability functions and their associated uncertainties are theoretically sound

– The data and methods used to derive the vulnerability functions for appurtenant structures, contents, time element losses and commercial residential buildings was presented to the Professional Team

– A description of how the uncertainties in the vulnerability functions are derived from historical loss data was presented to the Professional Team

STANDARD V-1: DERIVATION OF VULNERABILITY FUNCTIONS (1 / 3)


C. The residential building stock classification is representative of Florida construction for personal and commercial residential properties

– The schema used to classify buildings and assign vulnerability functions can represent all types of Florida construction for personal and commercial residential properties

D. Primary classification variables used in the model account for the construction type, number of stories, year of construction and other construction characteristics

– Over 1753 unique functions in each vulnerability region of which 493 are applicable to residential lines

– Increase in number of curves verses past model is related to the change to Manufactured Home line of business



E. Separate vulnerability functions derived for:– Commercial residential buildings, personal residential

structures and manufactured homes

– Appurtenant structures use same function as main structure, but can be input separately

F. Minimum wind speed generates damage– 50 mph peak gust = ~42 mph one minute sustained

G. Wind vulnerability functions include damage due to wind speed and pressure, water infiltration, and missile impact. Wind vulnerability functions exclude damage due to flooding, storm surge and wave action.

Standard Verified



A. Development of content / time element functions is primarily based on detailed analysis of claims data.

B. The relationship between the modeled building and contents vulnerability functions and historical structure and contents losses is reasonable.

o Relationship unchanged from previous version

C. The derivation of the time element functions considers the estimated time to repair or replace the property inferred from the time element claims and exposure values provided by insurance companies.

D. Relationship of Time element and Building Functions

o Time element losses depend on damage to structure, and have been validated by claims data

E. Time Element Vulnerability functions implicitly include claims arising from damage to infrastructure from wind, flood, and storm surge

Standard Verified

STANDARD V-2: DERIVATION OF CONTENTS AND TIME ELEMENT VULNERABILITY FUNCTIONS


A. RMS uses secondary modifier functions to reflect specific attribute information referenced in OIR “Informational Memorandum 02-0470M” and can be used to reflect mitigation measures

– Measures updated to reflect new options as described in Disclosure V-3.1 (i.e. Manufactured Home quality, and solar panels)

B. The application of modifier options are reasonable when applied individually and in combination as shown in FormV-2 / Form V-3.

Standard Verified

STANDARD V-3: MITIGATION MEASURES


ACTUARIAL STANDARDS

51Copyright © 2017 Risk Management Solutions, Inc. All Rights Reserved. May 12, 2017Copyright © 2017 Risk Management Solutions, Inc. .

Modeling Input Data and Output ReportsSTANDARD A-1

• No adjustments are made by the model.

• Output report showing model setting selections used are shown in Appendix F (printed pages 315 thru 321)

Standard Verified


Event DefinitionSTANDARD A-2

• Appropriate landfalling and bypassing events are included.

• Neither surge nor flood are explicitly included.

Standard Verified


CoveragesSTANDARD A-3

• The methods used in the calculation of building, appurtenant structure, contents, and time element loss costs are actuarially sound.

Standard Verified


Modeled Loss Cost and PML ConsiderationsSTANDARD A-4

• Loss Costs and PMLs can be calculated at a lat/long level of resolution

• Loss Costs and PMLs include demand surge (Post Loss Amplification)

• Demand surge is based on relevant data and actuarially sound methods and assumptions

• None of the following are included in the Loss Costs or PMLs:

• expenses, risk load, investment income, premium reserves, taxes, assessments, or profit margin.

• prospective provision for economic inflation.

• explicit provision for direct hurricane storm surge losses.

Standard Verified


Policy ConditionsSTANDARD A-5

• Methods and relationships are reasonable and actuarially sound.

• Deductible loss costs are calculated in accordance with applicable Florida Statutes

Standard Verified


Loss Outputs and Logical Relationship to RiskSTANDARD A-6

• Loss costs comply with all requirements of the Standard.

• Form A-6 was reviewed in the Trade Secret session.

Standard Verified


COMPUTER / INFORMATION STANDARDS


• Computer/Information Standards document binder – On-line, in central location

– Folder hierarchy indexes material by standard

– Covers all software relevant to submission

– Includes documentation external to source code

• Binder created for RiskLink 17.0 to reflect:– Model Updates in Standard G-1, Disclosure 5

o Geocoding Module

o Hazard Module

o Vulnerability Module

• Upgrades in documentation for version RiskLink 17.0

Standard Verified

STANDARD CI-1: DOCUMENTATION


• Requirements covered in various documents– RiskLink System Administration and User Guide

– Coding Standards

– Model Requirements Documents

– Component Methodology Document/Functional Specifications / Technical Specifications

– Project Management Documents

– Team Foundation Documents/Sharepoint Documents

– Information Technology Security Document

– Quality Assurance Test Plan

– Training program Document

• Model updates for RiskLink 17.0 reflected in requirements documents where appropriate

Standard Verified

STANDARD CI-2: REQUIREMENTS


• Control Flow Diagrams– Illustrate key processes, branches, and loops within software

• Data Flow Diagrams– Illustrate data interface relationships between software

components

• Data Schema Documentation– Describes data files / databases

• Documentation updated for RiskLink 17.0

Standard Verified

STANDARD CI-3: MODEL ARCHITECTURE AND COMPONENT DESIGN


• Coding guidelines contain standards for software and data development

• Data procedures documented

• Flow diagrams can be traced to code level

• Count of lines of code and comment lines provided

• Equations, formulas, and source code terms for G-1.5 changes

• Hardware, software, languages

• Model updates for RiskLink 17.0 reflected in these documents where appropriate

Standard Verified

STANDARD CI-4: IMPLEMENTATION


• Procedures for general testing– Design and prototype of model modifications/additions

– Written specifications describe purpose, algorithm, and testing plans; reviewed by modelers, software engineers, Product Managers, Client Development and QA

– Independent execution of test plans by RMS Software and Engineering Quality Assurance departments

– Code inspections, reviews, and walkthroughs to verify code correctness

– Run time errors caught by logical assertions, exception handling mechanisms, and trace statements in code

STANDARD CI-5: VERIFICATION (1/3)


• Procedures for component testing– Enterprise Tester used to help manage software testing life

cycle

– Software debuggers used to verify execution paths and calculation results

– Custom unit tests check components using range of input values

– Regression tests check that the new components perform the intended functionality without introducing new faults or deficiencies

– Aggregation tests performed by running the product as complete package to check all the components and data files accessed by model

– Performance tests check for execution time and memory use problems



• Procedures for data testing– Software tools used

o Database packages

o Mapping software

o Enterprise Tester for test management

o Custom tools (e.g. in Excel, Access, C++, SQL)

– Aggregation tests check use of data files, and to check repeatability of results with same input.

• Model verification updates for RiskLink 17.0 reflected in these documents where appropriate

Standard Verified



• Comprehensive procedures for full life cycle– Summarized by High-Level Description of Model-Revision

Policy

– Elaborated upon in Detailed Description of Model-Revision Policy

– RMS Development Process documents all key life cycle steps along several dimensions:

o Description

o Ownership

o Inputs

o Deliverables

o Process flow

o Tools and templates

o Best practices

STANDARD CI-6: MODEL MAINTENANCE AND REVISION (1/2)


• Software and processes used to track errors, revisions

• Unique model version used for each release of model– MajorRevision.MinorRevision.SPPatchRevision (Build

BuildNumber)

– Model Revision Policy

Standard Verified

STANDARD CI-6: MODEL MAINTENANCE AND REVISION (2/2)

http://sharepoint/Documents/Model/RMS%20Model%20Update%20Policy.docx


• RMS has documented and implemented security procedures for access to code, data, and documentation

– Security requirements documented and enforced by RMS Legal and Information Technology Departments

– Company personnel are trained in security requirements and procedures as part of the company’s revised and expanded training process

– Updates to procedures documented

Standard Verified

STANDARD CI-7: SECURITY


FCHF DATA: MONROE COUNTY OPENING PROTECTION

Type Buildings ValueUnknown 20,875 5,227,283,398All Glazed Openings Designed for Pressure & Large Missiles* 9,404 5,113,927,973All Glazed Openings Designed for Pressure & Small Missiles* 2,031 820,344,689

Type Buildings ValueUnknown 13,897 3,739,031,287All Glazed Openings Designed for Pressure & Large Missiles* 14,265 8,257,616,318

* Doors not Designed for Pressure/Impact

2007 FCHF DATA

2012 FCHF DATA