May 28th, 2012

Top Modeling Stories in GC Capital Ideas: First Half 2012

Posted at 1:00 AM ET

Here we highlight the top stories on modeling that have appeared in GC Capital Ideas in the first six months of 2012.

1. Spatial and Temporal Earthquake Clustering - Earthquake Aftershocks, EQECAT Perspective: Forecast Models: Earthquake sequences appear to be globally continuous over time. This suggests that seismic sources or faults may be part of a critically-stressed, self-organized network where earthquakes occur as a chain reaction with respect to one another. Earthquakes trigger other earthquakes as stresses move around in the fault network.

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2. Spatial and Temporal Earthquake Clustering - Earthquake Aftershocks, EQECAT Perspective: Probabilistic Hazard Analysis: The purpose of probabilistic seismic hazard analysis (PSHA) is to quantify the rate (or probability) of exceeding various ground-motion levels at a site or sites, given all possible earthquakes. PSHA involves the following three steps: Characterization of the seismic-hazard source model(s); Specification of the ground motion model(s) or attenuation relationship(s); and Probabilistic calculation.

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3. Spatial and Temporal Earthquake Clustering - Earthquake Aftershocks: EQECAT Perspective: Introduction: EQECAT recently released a white paper examining earthquake clustering in the context of seismic hazard and loss assessment. The paper, Spatial and Temporal Earthquake Clustering: Part 2 - Earthquake Aftershocks, is EQECAT’s second in a three-part series about spatial and temporal earthquake clustering.

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4. Calling All General Insurance Reserving Actuaries: Does the Bootstrap Model “Work”? Guy Carpenter’s extensive back-testing of reserve distributions created using the popular paid chain ladder bootstrap method has shown that these distributions materially under-estimate reserve risk.

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