australian catastrophe models - swiss re193ce31a-1935-4f88-91a2-d3249a… · victoria, south...
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Australian Catastrophe Models
COMBUS on OASIS
14 September 2017
CONFIDENTIAL18 September 2017 1
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Agenda
18 September 2017 CONFIDENTIAL 2
Recent Australian disaster experience
COMBUS models of event frequency
The OASIS experience – Model choice
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Low Pressure System – April 2015
18 September 2017 CONFIDENTIAL 3
Estimated Insurance Loss> AUD 1,000m
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Low Pressure System – June 2016
18 September 2017 CONFIDENTIAL 4
Estimated Insurance Loss> AUD 500m
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Severe Convective Storms November 2016 & February 2017
Victoria, South Australia, NSWEst. Insurance Loss > AUD 500m
Sydney, Bowral, Central Coast NSWEst. Insurance Loss > AUD 500m
18 September 2017 CONFIDENTIAL 5
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Cyclone Debbie – March 2017
18 September 2017 CONFIDENTIAL 6
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Cyclone Debbie – March 2017
18 September 2017 CONFIDENTIAL 7
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Cyclone Debbie – March 2017
18 September 2017 CONFIDENTIAL 8
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COMBUS Australian models
18 September 2017 CONFIDENTIAL 9
BushfireSevere
Convective Storm
Low Pressure Systems
Tropical Cyclone
Earthquake
Peril Wind Flood Surge Hail Fire Shake
Bushfire Yes
Severe Convective Storm Yes Yes Yes
Low Pressure Systems Yes Yes Yes
Tropical Cyclone Yes Yes Yes
Earthquake Yes
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Sub-Perils within each Peril
18 September 2017 CONFIDENTIAL 10
AREAPERIL_ID = CRESTA_ID*100 + COB_ID*10 + SUBPERIL_ID
Total loss = Wind loss (between 0% and 100%)+ Flood loss (between 0% and 100%)+ Surge loss (between 0% and 100%)
Total loss = 1 – (1-Wind)*(1-Flood)*(1-Surge)
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Average Annual Loss by Peril
18 September 2017 CONFIDENTIAL 11
(X%)=%AAL [Y%]=%Actual 1967-2015
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Southern Oscillation Index simulation
18 September 2017 CONFIDENTIAL 12
Bushfire
Severe Convective Storm Tropical Cyclone
Low Pressure System
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Kangaroo Insurance Company*FAKE
Up to 200 years
Cat XOLFirst Event
Cat XOLSecond Event
350
300
250 50x200x50+1.4% 100x150x200
+9.6%100x150x300
+19.2%200
150
100x50x200+5.0%
100x50x300+11.5%100
50
Event 1 2 3 4
• 25% of Australian Industry exposure• Market average deductibles and insurance limits• Cat “Tower” up to 1-in-200 plus Aggregate Protections
Imp
act
of
ENSO
C
on
tagi
on
18 September 2017 CONFIDENTIAL 13
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Multiple Options for OCCURRENCE
18 September 2017 CONFIDENTIAL 14
10,000 years
Poisson
100,000 years
Poisson
10,000 years
ENSO Contagion
100,000 years
ENSO Contagion
Occurrence
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Earthquake Research Timeline
• AS2121 Code introduced1979
• Gaull et al1990
• McCue - The revised Australian seismic hazard map1991
• AS1170.4 Code introduced1993
• Geoscience Australia model EQRM2006
• Geoscience Australia review on future work2010
• Geoscience Australia new model – Published 20122011
• Geoscience Australia new model – Pending review2017
MODEL*
MODEL
MODEL?
MODEL
18 September 2017 CONFIDENTIAL 15
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?
Gaull et al1990
GA 2011 GA 2017
AS1170.41993
18 September 2017 CONFIDENTIAL 16
Earthquake models – Hazard Options
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Earthquake models – Hazard Options
Note: Indicative curves only. Model under construction.
18 September 2017 CONFIDENTIAL 17
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COMBUS models are on OASIS
18 September 2017 CONFIDENTIAL 18
Aggregate Loss Model
All Perils
4 Occurrence Options
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Next steps
18 September 2017 CONFIDENTIAL 19
Platform Implementation
Resolution enhancement
New perils and model
refinement
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For more information please contact us at
PO Box 860
Moss Vale NSW 2577
AUSTRALIA
+61 2 4868 2541
CONFIDENTIAL18 September 2017 20
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