understanding catastrophe modeling
TRANSCRIPT
NHMA Practitioners SymposiumUnderstanding Catastrophe ModellingJuly 2015
NHMA Practitioners Symposium 2
• Catastrophe(Cat) Modelling 101
- What risks are commonly modelled?
- How does a cat model work?
- What does a cat model tell us?
- Who makes cat models?
- What is out there besides cat models?
OUTLINE
NHMA Practitioners Symposium 3
WHAT RISKS ARE COMMONLY MODELLED?CATASTROPHE MODELLING 101
Severe Convective Storm
TerrorismFlood
Earthquake
Infectious Disease
Winterstorm
Hurricane
NHMA Practitioners Symposium 4
HOW DOES A CAT MODEL WORK?CATASTROPHE MODELLING 101
Generate Stoch.Events
Hurricane Severe Convective Storm
NHMA Practitioners Symposium 5
HOW DOES A CAT MODEL WORK?CATASTROPHE MODELLING 101
Assess HazardGenerate Stoch.Events
Event 1
Event 2
FloodEvent 1
Event 2
Earthquake
NHMA Practitioners Symposium 6
HOW DOES A CAT MODEL WORK?CATASTROPHE MODELLING 101
Apply Vulnerability
Floo
d H
eigh
t
% Damage
2nd floor
1st floor
Assess HazardGenerate Stoch.Events
Severe Convective Storm (Wind)
Earthquake
NHMA Practitioners Symposium 7
HOW DOES A CAT MODEL WORK?CATASTROPHE MODELLING 101
Apply Vulnerability
Floo
d H
eigh
t
% Damage
2nd floor
1st floor
Assess HazardGenerate Stoch.Events
Flood
Calculate Damage
Floo
d H
eigh
t
% Damage
2nd floor
1st floor
Water Line
$250k$250k
$240k$125k
NHMA Practitioners Symposium 8
HOW DOES A CAT MODEL WORK?CATASTROPHE MODELLING 101
Apply Vulnerability
Floo
d H
eigh
t
% Damage
2nd floor
1st floor
Assess HazardGenerate Stoch.Events
Calculate Damage
Quantify Financial Loss
Limit = $180k
Deductible = $20k
Excess = $50k
Rep
lace
men
t = $
250k
Ground U
p Loss = $150k
Insurer Perspective
Ground up = 150kGross Loss = 150 – 20 = $130k
Insured’s Perspective
Ground up = $150kGross Loss = $20k
By Policy (Primary)
Limit = $180k
Deductible = $20k
Excess = $50k
Limit = $180k
Deductible = $20k
Excess = $50k
Limit = $180k
Deductible = $20k
Excess = $50k
By Portfolio (Reinsurer)
Limit = $180k
Deductible = $20k
Excess = $50k
Attachment = $100m
Excess = $100m
Port
folio
= $
1B
Ground U
p Loss = $600m
$200m xs $100mFull Participation
$600m xs $300m50% Participation
(Blue is non covered)
NHMA Practitioners Symposium 9
WHAT DOES A CAT MODEL TELL US?CATASTROPHE MODELLING 101
Retu
rn P
erio
d (Y
ears
)
Loss ($)
1
500
1000
1500
2000
Portfolio XYZ Exceedance Curve
(By Hazard)
This portfolio will experience a loss of X on average once every 1000 years
Every year there is a 1/1000 = 0.1%
chance of an event that causes X loss
Or
Average Annual Loss (AAL) = $Y
Over a X number of years, this portfolio will lose on average $Y
NHMA Practitioners Symposium 10
WHAT DOES A CAT MODEL TELL US?CATASTROPHE MODELLING 101
Retu
rn P
erio
d (Y
ears
)
Loss ($)
1
500
1000
1500
2000
Portfolio XYZ Exceedance Curve
(By Hazard)
Average Annual Loss (AAL) = $Y
Set Premium Rates
Set Layers
Determine Exclusion
NHMA Practitioners Symposium 11
WHO MAKES CAT MODELS?CATASTROPHE MODELLING 101
Independent World Leaders (Insurance Focused Models and
Platforms)
NHMA Practitioners Symposium 12
Insurance Focused
WHO MAKES CAT MODELS?CATASTROPHE MODELLING 101
Independent Newcomers(Models Only)
Other Govt. and Educational Institutions
NHMA Practitioners Symposium 13
WHO MAKES CAT MODELS?CATASTROPHE MODELLING 101
Independent Newcomers(Platforms)
NHMA Practitioners Symposium 14
WHO MAKES CAT MODELS?CATASTROPHE MODELLING 101
Private
Etc.
NHMA Practitioners Symposium 15
WHAT IS OUT THERE BESIDES CAT MODELS?CATASTROPHE MODELLING 101
• Global Detection and Event Measurement Systems
- Satellite based
- Drone/Orthophoto Based
- Social Media Based
NHMA Practitioners Symposium 16
WHAT IS OUT THERE BESIDES CAT MODELS?CATASTROPHE MODELLING 101
Satellite/Orthophotos
NHMA Practitioners Symposium 17
WHAT IS OUT THERE BESIDES CAT MODELS?CATASTROPHE MODELLING 101
Social Media
Enhanced Flood Insurance Rate Maps (E-FIRMs) v1.0 18
QUESTIONS?
???
Enhanced Flood Insurance Rate Maps (E-FIRMs) v1.0 19
This presentation by JLT Re (North America) Inc. is intended to provide only general information based on sources we believe are reliable. JLT Re (North America) Inc. makes no representations or warranties, express or implied, as to the accuracy of any of the information herein, which is not intended to be taken as advice with respect to any individual situation and cannot be relied upon as such. Any statements concerning tax, accounting, legal or regulatory matters should be understood to be general observations based solely on our experience as reinsurance brokers and risk consultants. We are not tax, accounting, legal or regulatory professionals and any such information provided is not professional advice. These matters should be reviewed with your own qualified advisors in these areas. This document may not be copied or reproduced in any form without the express permission of JLT Re (North America) Inc., except that clients of JLT Re (North America) Inc. need not obtain such permission when using this report for internal business purposes.
Brandon KatzAssistant Vice PresidentFlood Risk Specialist345 California Street Suite 20 San Francisco, CA 94104E: [email protected]: 415 733 4274
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