Cold Spot Analysis - Identification of country exposure & materiality to (Re)Insurers
- Calculation of exposure per country per peril;
- Estimation of average country hazard;
- Materiality assessment of country-peril exposure: hazard x exposure;
- Identification of cold spot regions perils, non-modelled, but material to (Re)Insurers;
- Making decision for the cold spots:
- Design Deterministic Scenarios ;
- Probabilistic Modelling Using Underwriters View of Loss (more details in this page);
- Design probabilistic solutions for the cold spots;
- Any Other Peril Methodology;
- Licensing vendor models.
Probabilistic Modelling Using Underwriters View of Loss
- A combination of packages written using R, SQL for Auto-reporting;
- PMUV - Probabilistic Modelling Using Underwriters View of Loss;
- What is PMUV?
- Usually used for Retro, Reinsurance and non-modelled regions;
- Where there is no modelling details for a region peril;
- AEP is based upon underwriters opinions/experiences.
- Solution:
- Using R, SQL database, Industry ELT, and Underwriters View of Loss, an ELT for the class of business is created;
- Output is an ELT, where its AEP is the same as underwriter experience AEP view.
- Advantages:
- UELTs for each class is generated;
- Generated ELTs can be grouped with the rest of classes ELTs for reporting and internal model.
Model Innovation - PEAM (Probabilistic Exposure AAL Modelling) Methodology
- Generation of ELTs for non-modelled regions perils;
- Calculation of industry AAL damage factor: DF = AAL/Exposure;
- Calculation of (re)insurers AAL;
- Scaling Industry ELT to get company ELT;
- Grouping each region peril ELT for reporting and internal model.
Casualty Probabilistic Loss Assessment
- To model liability exposure via a probabilistic method across (re)insurers' entire portfolios;
- To map the journey of products and services;
- To create liability storm tracks.
Worldwide Tsunami Modelling
- Innovation of a simple, yet sophisticated method to assess global Tsunami loss;
- Development of event loss table to aggregate with earthquake loss table;
- Grouping ELTs for reporting and internal model.
Thailand flood model
- Innovation of a simple, yet sophisticated method to assess Thai flood;
- Development of event loss for reporting and internal model.
Global Post Loss Amplification
- Innovation of a method to estimate PLA for worldwide regions and perils.