australian catastrophe models - swiss re193ce31a-1935-4f88-91a2-d3249a… · victoria, south...

Australian Catastrophe Models

COMBUS on OASIS

14 September 2017

CONFIDENTIAL18 September 2017 1

Agenda

18 September 2017 CONFIDENTIAL 2

Recent Australian disaster experience

COMBUS models of event frequency

The OASIS experience – Model choice

Low Pressure System – April 2015


Estimated Insurance Loss> AUD 1,000m

Low Pressure System – June 2016


Estimated Insurance Loss> AUD 500m

Severe Convective Storms November 2016 & February 2017

Victoria, South Australia, NSWEst. Insurance Loss > AUD 500m

Sydney, Bowral, Central Coast NSWEst. Insurance Loss > AUD 500m


Cyclone Debbie – March 2017


COMBUS Australian models


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

Sub-Perils within each Peril


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)

Average Annual Loss by Peril


(X%)=%AAL [Y%]=%Actual 1967-2015

Southern Oscillation Index simulation


Bushfire

Severe Convective Storm Tropical Cyclone

Low Pressure System

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


Multiple Options for OCCURRENCE


10,000 years

Poisson

100,000 years

Poisson

10,000 years

ENSO Contagion

100,000 years

ENSO Contagion

Occurrence

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


?

Gaull et al1990

GA 2011 GA 2017

AS1170.41993


Earthquake models – Hazard Options

Earthquake models – Hazard Options

Note: Indicative curves only. Model under construction.


COMBUS models are on OASIS


Aggregate Loss Model

All Perils

4 Occurrence Options

Next steps


Platform Implementation

Resolution enhancement

New perils and model

refinement

For more information please contact us at

PO Box 860

Moss Vale NSW 2577

AUSTRALIA

+61 2 4868 2541

[email protected]

CONFIDENTIAL18 September 2017 20

Basic Copyright Notice & Disclaimer

©2017 This presentation is copyright protected. All rights reserved. You may download or print out a hard copy for your private or internal use. You are not permitted to create any modifications or derivatives of this presentation without the prior written permission of the copyright owner.

This presentation is for information purposes only and contains non-binding indications. Any opinions or views expressed are of the author and do not necessarily represent those of Swiss Re. Swiss Re makes no warranties or representations as to the accuracy, comprehensiveness, timeliness or suitability of this presentation for a particular purpose. Anyone shall at its own risk interpret and employ this presentation without relying on it in isolation. In no event will Swiss Re be liable for any loss or damages of any kind, including any direct, indirect or consequential damages, arising out of or in connection with the use of this presentation.

australian catastrophe models - swiss re193ce31a-1935-4f88-91a2-d3249a… · victoria, south...

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