Posts Tagged ‘Models’



June 6th, 2019

Modeling Insights

Posted at 1:00 AM ET

Here we review recent GC Capital Ideas posts covering insights on modeling.

A Risk Overview of Wildfire: Today, the frequency and severity of wildfires are garnering greater attention - not only from the media, but also from (re)insurers, catastrophe modelers, mitigation experts and other invested parties.

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Understanding Flood Risk in Malaysia Through Catastrophe Modeling: According to Malaysia’s Department of Irrigation and Drainage, the many rivers running through the country put about 9 percent of the total land area under flood risk, potentially affecting 2.7 million people. Rapid urbanization is only going to worsen the problem through rising population concentrations and at-risk infrastructure, land consumption and the channeling of water courses.

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Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices: John Major has authored an article that aims to help actuaries, financial analysts, statisticians, data scientists and their clients better investigate how property catastrophe risk, and particularly catastrophe bonds, are  priced.

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Are You at Risk? Managing Affirmative and Silent Cyber Risk Accumulation: The script of the global cyber insurance market is still mainly being written in the United States. Approximately 85 percent of global cyber insurance premiums of between USD 2.5 and 3.5 billion are generated in the United States. The take-up rate for this line of business in Asia is still relatively low, but the Japan market has been experiencing steady growth in the last 24 months.

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May 14th, 2019

Flood Risk Challenges in Asia

Posted at 1:00 AM ET

mark-weatherhead-finalFlood is one of the most significant natural catastrophe perils, globally accounting for nearly 40 percent of all catastrophe events. In 2017, floods accounted for nearly half of the natural catastrophe events and 65 percent of natural catastrophe deaths in the world - two thirds of the deaths occurring in Asia. According to the Lloyd’s City Risk Index, which examines flood risk as a percentage of GDP, nine of the top 10 cities at risk are located in Asia, according to Mark Weatherhead, Head of Model Development - International, Guy Carpenter.

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April 29th, 2019

Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices

Posted at 1:00 AM ET

major_john_gcciJohn Major, Director of Actuarial Research

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John Major has authored an article that aims to help actuaries, financial analysts, statisticians, data scientists and their clients better investigate how property catastrophe risk, and particularly catastrophe bonds, are  priced.

As in any technical discipline, statistical modeling has its customs, templates and default modes of operation, which are typically learned early in a practitioner’s education. These practices persist as “standard operating procedures,” to be modified as needs arise. The purpose of this article is to challenge those default modes as they have appeared in 21st century-published catastrophe bond pricing research.

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March 13th, 2019

GC Capital Ideas Covers Modeling Developments

Posted at 1:00 AM ET

GC Capital Ideas presents a review of our recent stories covering modeling for various perils.

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March 7th, 2019

Building for Resilience: How to Avoid a Catastrophe Model Failure: Part IV

Posted at 1:00 AM ET

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Imelda Powers, Global Chief Catastrophe Modeler

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Valuation Assumptions

There is no database of agreed property, contents or business interruption valuations among vendors or insurers.  Any user’s particular valuation may come from databases of property prices, or rebuild values from claims adjusters and building surveyors. If the model’s assumed valuations are under- or over-estimated, then the damage function may over- or under-compensate in order to balance to historical industry event losses during the model-building process. Consequently, it is important that the user adjust the damage module to reconcile these differences.

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February 28th, 2019

Building for Resilience: How to Avoid a Catastrophe Model Failure: Part III

Posted at 1:00 AM ET

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Imelda Powers, Global Chief Catastrophe Modeler

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If resources permit, an insurer may carry out additional, micro level model suitability analyses - including a review of model hazards and vulnerabilities using the latest scientific literature and engineering studies. Guy Carpenter’s Model Suitability Analysis (MSA)® framework is designed to guide users through such an analysis.

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February 21st, 2019

Building for Resilience: How to Avoid a Catastrophe Model Failure: Part II

Posted at 1:00 AM ET

Imelda Powers, Global Chief Catastrophe Modeler

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Model Suitability Analysis

There is a repertoire of tests, at both the macro and micro levels, to evaluate the merits of a CAT model.  Regardless of resources, insurers should analyze how each test’s result informs their view of risk. Here we review the macro level.

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February 14th, 2019

Building for Resilience: How to Avoid a Catastrophe Model Failure: Part I

Posted at 1:00 AM ET

Imelda Powers, Global Chief Catastrophe Modeler

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Since commercial catastrophe (CAT) models were first introduced in the 1980s, they have evolved as new scientific discoveries and claims insights emerged. Despite the sophisticated nature of each new generation of CAT models, occasionally a model misses a significant loss driver for a particular peril. This occurs when a previously hidden attribute reveals itself through unprecedented intensity. Lessons from such surprises stimulate model improvements as our understanding of the physics of the peril and its damage potential, increase. Through this process, models mature over time.

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October 31st, 2018

Flood Risk Challenges in Asia - GC@SIRC Commentary

Posted at 9:00 PM ET

mark-weatherhead-finalMark Weatherhead, Head of Model Development, International

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  • Asia is particularly prone to flooding because of three factors: hydrology, population density and mitigation rate
  • To improve loss assessments, hazard data should be combined with other data types, such as probabilistic event sets and defense information
  • Guy Carpenter has made a significant investment in data and technology to help our clients improve their understanding of flood risk

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