Actuarial Seminar - Matthew Mason (UQ)
Title: The role of engineering and science in the art of catastrophe risk modelling
Abstract: Catastrophe Risk Models are used throughout the world to inform pricing of property insurance and reinsurance. While actuarial models for pricing property insurance have been used for some time, a series of natural hazard events in the USA in the late 1980s and early 1990s – Hurricane Hugo (1989), Loma Prieta Earthquake (1989) and Hurricane Andrew (1992) – showed the insurance industry that a more complete approach was needed to understand the potential losses such events could produce. Catastrophe risk models present an avenue for doing this, and through the aggregation of sub-models that probabilistically describe the hazard (e.g., cyclone wind gust intensity, frequency and spatial extent), vulnerability (i.e. expected damage or loss given a range of hazard metrics) and exposure of a portfolio of assets, catastrophe models can be used to assess financial risk to that portfolio, including event losses that may be beyond what has historically been experienced. Models can even be used to generate probabilistic estimates of loss in real-time as events are unfolding. As such, they’re versatile models but require expertise from a wide range of fields, including actuarial studies, engineering, meteorology, climatology, spatial and data sciences to be utilised. This talk will provide an overview of catastrophe risk modelling and detail research undertaken to develop components of these models that better assess hazard (tropical cyclone and thunderstorms) and vulnerability (cyclone, flood and thunderstorms) in the Australian context.