Natural Catastrophe Risk Management and Modelling: A Practitioner's Guide

ISBN-13: 9781118906040 / Angielski / Twarda / 2017 / 536 str.

Foote, Matthew

Opis

This is the first guide for catastrophe risk practitioners. It is targeted at the growing number of catastrophe model users and regulators in (re)insurance and strategic planning for risk (e.g. World Bank, governments, NGOs, local authorities and global disaster management agencies). By combining the state-of-the-art knowledge from leading academics, commercial modelling companies and practitioners, the content is comprehensive, authoritative, and concise. The authors have tried to create the book that they wished had been available when they started their careers. Perhaps an alternative title could have been "The high level guide to everything you need to know about catastrophe modelling." It introduces key facts, terms and concepts and provides access to references where these are available.

The book has been designed for undergraduate and postgraduate readers as well as the practitioners themselves, whether catastrophe modelling analysts, catastrophe model developers, actuaries, underwriters, or those in compliance or regulation functions related to catastrophe risk. It is also relevant to scientists or engineers in disciplines who would like insight into natural catastrophe risk management, or the potential application of their work in catastrophe models. Readers of the book will better understand the construction and use of catastrophe models, gain knowledge of models' strengths and weaknesses, as well as appreciate associated uncertainties. Readers will learn about the interpretation, effective validation and justification of catastrophe models.

This book arrives during a period of significant development in natural catastrophe risk modelling: fundamental methodological and computational change, increased regulatory demand and an upsurge in user awareness and sophistication. The book aims to promote informed model usage and provide practitioners with the knowledge to be effective catastrophe risk modellers and managers.

Spis treści

List of Contributors and Acknowledgements xiii

Foreword xxv

1 Fundamentals 1
Matthew Jones, Kirsten Mitchell–Wallace, Matthew Foote, and John Hillier

1.1 Overview 1

1.2 Catastrophes, Risk Management and Insurance 2

1.3 What Are Catastrophe Models? 5

1.4 Why Do We Need Catastrophe Models? 6

1.5 History of Catastrophe Models 7

1.6 Who Provides and Uses Catastrophe Models? 10

1.7 What Are Catastrophe Models Used For? 11

1.8 Anatomy of a Catastrophe Model 12

1.9 Model Input 19

1.10 Model Output: Metrics and Risk Measures 26

1.11 Statistical Basics for Catastrophe Modelling 38

Notes 44

References 45

2 Applications of Catastrophe Modelling 47
Kirsten Mitchell–Wallace

2.1 Overview 47

2.2 Introduction 48

2.3 Risk Transfer, the Structure of the (Re)insurance Industry and Catastrophe Modelling 49

2.4 Insurance and Reinsurance 52

2.5 Catastrophe Risk Management and Catastrophe Modelling 60
Kirsten Mitchell–Wallace and Matthew Foote

2.6 Underwriting and Pricing 70
Kirsten Mitchell–Wallace and Matthew Jones

2.7 Accumulation, Roll–Up and Capacity Monitoring 97
Claire Crerar and Kirsten Mitchell–Wallace

2.8 Portfolio Management and Optimization 105
Kirsten Mitchell–Wallace and Guillermo Franco

2.9 Event Response and Integration with Claims Team 111
Kirsten Mitchell–Wallace

2.10 Capital Modelling, Management and Dynamic Financial Analysis 116
Junaid Seria

2.11 Regulation and Best Practice in Catastrophe Modelling 121
Junaid Seria, Claire Souch, and Paul Nunn

2.12 Case Study: Catastrophe Modelling for Reinsurance and Retrocession Purchase 137
Juan England

2.13 Government Schemes and Insurance 142
Matthew Eagle

2.14 Catastrophe Models and Applications in the Public Sector 154
Rashmin Gunasekera

2.15 Insurance Linked Securities 158
Arnab Chakrabati

2.16 Effective use of Catastrophe Models 167
Ian Cook, Matthew Jones, Adam Podlaha, and Kirsten Mitchell–Wallace

3 The Perils in Brief 187
John Hillier

3.1 Overview 187

3.2 Tropical Cyclones 194
James Done and Brian Owens

3.3 Extra–Tropical Cyclones 202
Len Shaffrey and Richard Dixon

3.4 Severe Convective Storms 209
Michael Kunz and Peter Geissbuehler

3.5 Inland Flooding 218
Jane Toothill and Rob Lamb

3.6 Shrink–Swell Subsidence 230
John Hillier

3.7 Earthquakes 232
Joanna Faure Walker and Guillaume Pousse

3.8 Mass Movement 245
Tom Dijkstra, Craig Verdon, and John Hillier

3.9 Tsunami 250
Anawat Suppasri and Yo Fukutani

3.10 Volcanoes 254
Sue Loughlin, Rashmin Gunasekera, and John Hillier

References 258

4 Building Catastrophe Models 297
Matthew Foote, Kirsten Mitchell–Wallace, Matthew Jones, and John Hillier

4.1 Overview 297

4.2 Introduction 298

4.3 Hazard 301

4.4 Exposure Models and Databases 334

4.5 Vulnerability 341

4.6 Integrating Model Components and the Geographical Framework 367

4.7 The Financial Model 369

4.8 Model Validation 379

4.9 Conclusion 381

Note 381

References 381

5 Developing a View of Risk 389
Matthew Jones

5.1 Overview 389

5.2 Introduction 390

5.3 Governance and Model Change Management 394

5.4 How to Develop a View of Risk 401

5.5 Implementing a View of Risk 442

5.6 Conclusion 452

Notes 452

References 452

6 Summary and the Future 455
John Hillier, Kirsten Mitchell–Wallace, Matthew Jones, and Matthew Foote

6.1 Overview 455

6.2 Key Themes in the Book 455

6.3 The Future: Progress, Challenges and Issues 458

References 464

Glossary 467

Index 495

 

 

O autorze

Kirsten Mitchell–Wallace, PhD is EMEA Regional Head of Catastrophe Management at SCOR, Zürich, Switzerland

Matthew Jones, PhD is Director at Cat Risk Intelligence, UK

John Hillier, PhD is Senior Lecturer in Physical Geography at Loughborough University, Loughborough, UK

Matthew Foote is Group Head of Exposure Management at Argo Group International Holdings, London, UK

Blurb

This book covers both the practical and theoretical aspects of catastrophe modelling for insurance industry practitioners and public policymakers. Written by authors with both academic and industry experience it also functions as an excellent graduate–level text and overview of the field.

Ours is a time of unprecedented levels of risk from both natural and anthropogenic sources. Fortunately, it is also an era of relatively inexpensive technologies for use in assessing those risks. The demand from both commercial and public interests including (re)insurers, NGOs, global disaster management agencies, and local authorities for sophisticated catastrophe risk assessment tools has never been greater, and contemporary catastrophe modelling satisfies that demand.

Combining the latest research with detailed coverage of state–of–the–art catastrophe modelling techniques and technologies, this book delivers the knowledge needed to use, interpret, and build catastrophe models, and provides greater insight into catastrophe modelling′s enormous potential and possible limitations.

• The first book containing the detailed, practical knowledge needed to support practitioners as effective catastrophe risk modellers and managers
• Includes hazard, vulnerability and financial material to provide the only independent, comprehensive overview of the subject, accessible to students and practitioners alike
• Demonstrates the relevance of catastrophe models within a practical, decision–making framework and illustrates their many applications
• Includes contributions from many of the top names in the field, globally, from industry, academia, and government

Natural Catastrophe Risk Management and Modelling: A Practitioner′s Guide is an important working resource for catastrophe modelling analysts and developers, actuaries, underwriters, and those working in compliance or regulatory functions related to catastrophe risk. It is also valuable for scientists and engineers seeking to gain greater insight into catastrophe risk management and its applications.