regulating hurricane insurance loss costs produced by computer models n.
Download
Skip this Video
Loading SlideShow in 5 Seconds..
Regulating Hurricane Insurance Loss Costs Produced by Computer Models PowerPoint Presentation
Download Presentation
Regulating Hurricane Insurance Loss Costs Produced by Computer Models

Loading in 2 Seconds...

play fullscreen
1 / 33

Regulating Hurricane Insurance Loss Costs Produced by Computer Models - PowerPoint PPT Presentation


  • 125 Views
  • Uploaded on

Regulating Hurricane Insurance Loss Costs Produced by Computer Models. Presented to the CAS Seminar on Reinsurance June 1-2, 2006 by Martin M. Simons MAAA, ACAS, FCA Public Actuarial Consultant. Florida Commission on Hurricane Loss Projection Methodology

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

Regulating Hurricane Insurance Loss Costs Produced by Computer Models


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
regulating hurricane insurance loss costs produced by computer models

Regulating Hurricane Insurance Loss CostsProduced by Computer Models

Presented to the CAS

Seminar on Reinsurance

June 1-2, 2006

by

Martin M. Simons MAAA, ACAS, FCA

Public Actuarial Consultant

slide2
Florida Commission on Hurricane Loss Projection Methodology
  • Hawaii Hurricane Model Review Committee
  • Insurance Rate Filings and Hurricane Loss Estimation Models
fchlpm
FCHLPM

Commission

Insurance Consumer Advocate

FHCF Executive Director

Executive Director of Citizens P.I.C.

Director of Emergency Management

FHCF Advisory Council Actuary

Florida OIR Actuary

P & C Company Actuary

Professor of Insurance Finance

Professor of Statistics

Professor of Computer Science

Professor of Meteorology

accurate
Accurate
  • Designed and constructed in a careful, sensible, and scientifically acceptable manner such that they correctly describe the critical aspects needed to project loss costs
reliable
Reliable
  • Consistently produce dependable results and that there is no inherent or known bias which would cause the model or technique to overstate or understate the results
professional team
Professional Team
  • Meteorologist - Dr. Jenni Evans
  • Structural Engineer – Fred Stolaski
  • Actuary – Marty Simons
  • Statistician – Dr. Mark Johnson
  • Computer Scientist – Dr. Paul Fishwick
standards
Standards
  • To be determined acceptable, the model must have been found acceptable for all Standards.
  • If the model fails to be found acceptable, by a majority vote, for any one Standard, the model will not be found to be acceptable.
standards1
Standards
  • General (5 standards)
  • Meteorology (6 standards)
  • Vulnerability (2 standards)
  • Actuarial (9 standards)
  • Statistical (6 standards)
  • Computer (7 standards)
forms
Forms
  • General – 6 Forms –(expert certification)
  • Meteorological – 3 Forms

+ Official Hurricane Set

  • Vulnerability – 2 Forms
  • Actuarial – 9 Forms
  • Statistical – 5 Forms
hawaii hurricane model review
Hawaii Hurricane Model Review
  • Initiated in 2001
  • Updated June 30, 2003
  • Based on FCHLPM reviews
  • Composition –
      • Actuary – Marty Simons
      • Engineer – Gary Chock
      • Meteorologist – Tom Schroeder
objective
Objective
  • to ensure that models used to produce property insurance loss costs in Hawaii appropriately consider Hawaii hurricane characteristics and frequencies, Hawaii construction types and Hawaii land use and land cover data in their development.
hawaii model review questions
Hawaii Model Review Questions
  • Twenty-one questions, some with several subparts.
  • Does the model provide reasonable consideration of:
    • Hawaii hurricane history (windfield)
    • Pacific hurricanes
    • Hawaii topography
    • Hawaii building stock
    • Hawaii land use – land cover
    • Hawaii policy language
hawaii model review questions1
Hawaii Model Review Questions

2. Is the model the same as that which has been accepted by the Florida Commission on Hurricane Loss Projection Methodologies (FCHLPM)?

If not, describe the major differences.

hawaii model review questions2
Hawaii Model Review Questions

7. Provide details of the impact of each of the following criteria on the creation of the stochastic storm set:

  • Hurricanes vs. tropical storms, Pacific vs. Atlantic storms, historical time period, central pressure, wind speed, land friction, surface roughness, weakening, topography, atmospheric conditions, by-passing storms
hawaii model review questions3
Hawaii Model Review Questions

9. Provide the 100 and 500 - year recurrence interval 3 second gust wind speeds for the following airport locations:

  • Lihue
  • Honolulu
  • Kahului
  • Hilo
hawaii model review questions4
Hawaii Model Review Questions

12. a) Describe the basis of vulnerability function development relative to Hawaii construction characteristics.

12. b) Describe the studies and methods used in the development of the building stock.

12. c) Describe the studies and methods used in the validation and verification of the building stock.

hawaii model review questions5
Hawaii Model Review Questions

12. d) Describe the studies and methods used in the development of the vulnerability functions.

12. e) Describe the studies and methods used in the validation and verification of the vulnerability functions.

12. f) Describe the studies and methods used to determine that the construction characteristics within the model appropriately reflect Hawaii construction characteristics.

hawaii model review questions6
Hawaii Model Review Questions

16. Provide the total aggregate zero deductible personal residential (homeowners plus dwelling policies) losses produced by your model for Hurricane Iniki.

17. Provide comparisons (in as much detail as model and data will allow) of actual losses with model output losses for Hurricane Iniki.

hawaii model review questions7
Hawaii Model Review Questions

21. Provide the two dimensional instantaneous windfield for the island of Kauai at the time of landfall for Hurricane Iniki as developed by the model at a one-mile grid resolution.

insurance rate filings and hurricane loss estimation models
Insurance Rate Filings and Hurricane Loss Estimation Models
  • Journal of Insurance Regulation, 4/2004
  • By Charles C. Watson, Jr., Mark E. Johnson, and Martin Simons
  • 324 Public Domain Model Combinations
public windfield models
Public Windfield Models

Wind Field

  • Rankin Vortex
  • Holton (1992)
  • Miller (1967)
  • SLOSH (Jenesnianski, et al., 1992)
  • Stand. Project Hurricane (Schwerdt, et al,1979)
  • Bretschneider (1972)
  • AFGWC (Brand, et al., 1977)
  • Holland (1980)
  • Georgiou (1985)
public friction boundary layer models
Public Friction (Boundary Layer Models)
  • None (Schwerdt, et al., 1979)
  • Cell-based (Cook, 1985)
  • ASCE (2000)
  • Trajectory (Watson, 1995)
public damage functions
Public Damage Functions
  • Australian (Leicester, et al., 1978)
  • Foremost (1996)
  • Friedman (1984)
  • Clemson 1 (Sill, et al., 1997)
  • Clemson 2 (Rosowsky, et al., 1999)
  • Professional Team (FCHLPM, 2002)
  • X-cubed (Howard, et al., 2972)
  • Energy (Watson, 2002)
  • Stubbs (USAID/OAS, 1996)
study criteria
Study Criteria
  • Topography: US 90 meter DEM from USGS
  • Land Cover: NASA/UMD 250m Global Land Cover data set (Spring 2003)
  • Track: 1851-2002 revised HURDAT data from NHC
  • Exposure: Census 2000 Block Group data (the STF3 data set).
other hurricane prone states
Other Hurricane Prone States
  • Model review committee
    • Meteorologist
    • Structural Engineer
    • Actuary
  • Determination that the model being reviewed appropriately considers individual state criteria
individual state criteria
Individual State Criteria
  • Meteorology

Hurricane frequencies

Hurricane tracks

Hurricane strengths

Land Use

Land Cover

  • Vulnerability

Construction Characteristics

Building Codes and Enforcement

  • Actuarial

Policy Language

Insurance Company Practices

models accepted by the fchlpm may 2006
Models Accepted by the FCHLPM(May 2006)
  • AIR Worldwide

Atlantic Tropical Cyclone Model V8.0

Program CLASIC/2 v8

models accepted by the fchlpm may 20061
Models Accepted by the FCHLPM(May 2006)
  • ARA - Applied Research Associates

HurLoss Version 3.4

models accepted by the fchlpm may 20062
Models Accepted by the FCHLPM(May 2006)
  • EQECAT, Inc.

USWIND 5.10/WORLDCATenterprise 3.8

models accepted by the fchlpm may 20063
Models Accepted by the FCHLPM(May 2006)
  • RMS – Risk Management Solutions

RiskLink 5.1a

some additional references
Some Additional References
  • Hurricane Best Track Files (HURDAT), Atlantic Tracks File www.nhc.noaa.gov/pastall.shtml
  • Tropical Prediction Center/National Hurricane Center (TPC/NHC), Tropical Cyclones of the North Atlantic Ocean, 1871-1998, with updates
  • Information from the FCHLPM www.sbafla.com/methodology/
  • Watson, Charles C., Johnson, Mark E. and Simons, Martin M., Insurance Rate Filings and Hurricane Loss Estimation Models, Journal of Insurance Regulation, April 2004.
  • Iman, Ronald L., Latin Hypercube Sampling, Encyclopedia of Statistical Sciences, Update, Volume 3, 1999
  • Actuarial Standard of Practice, number 38