Risk Management Institute’s Quarterly Credit Report
Author(s): National University of Singapore Risk Management Institute
Field(s): Operational Risk
Summary: The Quarterly Credit Report (QCR) is an analysis of credit outlooks across regions, economies and sectors. This analysis incorporates probabilities of default (PD) generated by the Risk Management Institute’s (RMI) default forecast model, a part of the RMI Credit Research Initiative at the National University of Singapore (NUS). The objective of the QCR is to provide insights on trends in credit outlooks to credit professionals, investors and researchers.
A MapReduce Framework for Analysing Portfolios of Catastrophic Risk with Secondary Uncertainty
Author(s): A. Rau-Chaplin, B. Varghese, Z. Yao
Field(s): MapReduce model, secondary uncertainty, risk modelling, aggregate risk analysis
Summary: The design and implementation of an extensible framework for performing exploratory analysis of complex property portfolios of catastrophe insurance treaties on the Map-Reduce model is presented in this paper. The framework implements Aggregate Risk Analysis, a Monte Carlo simulation technique, which is at the heart of the analytical pipeline of the modern quantitative insurance/reinsurance pipeline.
A first analysis of the potential landslide distribution from the Iran earthquake
Author(s): Rob Parker and Dave Petley
Summary: The Mw = 7.8 earthquake in early April in Iran was the largest event in that country for about 50 years. Fortunately, the depth of the earthquake (82 km) and the low population density in the affected areas meant that loss of life was low for an event of this size
Recent intense hurricane response to global climate change
Author(s): Greg Holland, Cindy L. Bruyère
Summary: Recent community consensus has concluded that it is likely that the frequency of intense hurricanes will increase with future anthropogenic climate change. IPCC (2007) also concluded that the current ‘warming of the climate system is unequivocal’. Yet IPCC (2012) concluded that ‘There is low confidence in any observed long-term increases in tropical cyclone activity’, based largely on potential errors in the observed data. Here we investigate this apparent anomaly and find that there has been an increase in the proportion of intense hurricanes relative to all hurricanes, and that is strongly related to an Anthropogenic Climate Change Index (ACCI).
On the sampling distribution of Allan factor estimator for a homogeneous Poisson process and its use to test inhomogeneities at multiple scales
Author(s): Francesco Serinaldi, Chris G. Kilsby
Summary: The Allan factor (AF) is a statistic widely used to assess if the rate of occurrences of an event tends to cluster and show persistence in a range of space and/or time scales. This study investigates the sampling distribution function of the AF estimator when the underlying process is homogeneous Poissonian.
Characterizing a Building Class via Key Features and Index Buildings for Class-Level Vulnerability Functions
Date: Feb 18, 2013
Conf: International Conference on Structural Safety & Reliability (ICOSSAR)
Pillar: Natural Hazard & Risk
Hub: Exposure, Vulnerability & Physical Impacts
Attachment: Download File ›
Author(s): K. Porter, I.H. Cho
Summary: The abstract summarizes a procedure for creating an analytically derived seismic vulnerability function using 2nd-generation performance-based earthquake engineering at practical cost, with mathematical rigor, reflecting all of the most-important variability within the class.
Post-Sandy: Recovering, Repairing and Rebuilding
Summary: Insurance Institute for Business and Home Safety (IBHS), a WRN partner released three new papers focusing on building codes in New York and New Jersey; guidance for repairing and rebuilding residential and commercial structures post-Sandy; and business protection lessons learned from Sandy. These papers contain valuable information related to building codes in New York and New Jersey and highlights the importance of building mitigation measures to wind and flood.
Global Risks 2013 - Eighth Edition
Author(s): Lee Howell, World Economic Forum, Editor in Chief
Summary: The World Economic Forum’s Global Risks 2013 report is developed from an annual survey of over 1,000 experts from industry, government, academia and civil society who were asked to review a landscape of 50 global risks.
Damaging Earthquakes Database 2012 – The Year in Review
Author(s): James Daniell and Armand Vervaeck
Summary: The purpose of this report is to present the damaging earthquakes in the year 2012 around the world that were entered into the CATDAT Damaging Earthquake Database (a historical global catastrophe database compiled by our WRN partners CEDIM and KIT amongst others) in terms of their socio‐economic effects.
WRN Bulletin: Hurricane Sandy Damage Survey Report
Author(s): Dr. Habil. Michael Kunz & Prasad Gunturi
Summary: Sandy was a storm system with special meteorological characteristics causing widespread damage from the Caribbean to the U.S. East Coast. At the U.S. coast, especially in New York, New Jersey and Pennsylvania, Sandy resulted in a relatively high death toll compared to historic events. Critical infrastructure failures (electricity, transportation) are expected to lead to a high amount of indirect damages.
Hurricane Sandy’s Storm Surge and the National Flood Insurance Program
Author(s): Erwann Michel-Kerjan & Carolyn Kousky
Summary: Flood Insurance Coverage in New York and New Jersey
CEDIM FDA-Report on Hurricane Sandy Sandy 22-30 October
Author(s): Chris Kilsby and Jim Hall. Bernhard Mühr. Michael Kunz, Tina Kunz -Plapp, James Daniell, Bijan Khazai, Marjorie Vannieuwenhuyse, Tina Comes, Florian Elmer, Kai Schröter, Adrian Leyser, Christian Lucas, Joachim Fohringer, Thomas Münzberg, Werner Trieselmann, Jochen Zschau
Summary: Hurricane Sandy was a storm system with special meteorlogical characteristics. It caused widespread damage from the Caribbean to the U.S. East Coast.
Cultivating C4 crops in a changing climate: sugarcane in Ghana
Author(s): Emily Black, Pier Luigi Vidale, Anne Verhoef,Santiago Vianna Cuadra, Tom Osborne and Catherine Van den Hoof
Summary: As fossil fuel prices increase, energy crops will become an increasingly lucrative option for farmers. Exploring the long-term environmental consequences of such cultivation is therefore a high priority. This paper applies a process-based crop model to sugarcane in Ghana (where cultivation is planned), and the São Paulo region of Brazil (which has a well-established sugarcane industry) to understand the impact this could have in areas of vulnerable water resource and long term environmental sustainability
Assessing Tropical Cyclone Damage
Author(s): James Done, Jeffrey Czajkowski
Summary: This study provides new insights into the drivers of hurricane losses that have implications for existing approaches to hurricane loss modeling.
Impact of North Atlantic Oscillation on European Windstorms
Author(s): Prof David B. Stephenson; Dr. Leon Hermanson; Dr Angelika Werner
Summary: A two page paper looking at the impact of North Atlantic Oscillation on European Windstorms
Trimming the UCERF2 Hazard Logic Tree
Author(s): Keith A. Porter, Edward H. Field, and Kevin Milner
Summary: Exposures with very large sums insured, such as those dealt through Facultative reinsurance, require particular studies when assessing their seismic risk. A more accurate risk assessment may be translated in better reinsurance pricing due to the consideration of a wider range of uncertainties. A thorough hazard analysis requires a Probabilistic Seismic Hazard Assessment (PSHA) which in some cases may be computationally demanding and time consuming to set up.
Wharton Flood Report Briefing
Author(s): Jeffrey Czajkowski & Vaughn Jensen
Summary: Assessing the Feasibility of U.S. Private Market Flood Insurance - a study by WRN partner Wharton Risk Management and Decision Processes Center.
Rapid Post-Event Catastrophe Modelling and Visualization
Author(s): Eric Mason, Andrew Rau-Chaplin, Kunal Shridhar, Blesson Varghese2 and Naman Varshne
Field(s): post-event earthquake analysis; catastrophe modelling; loss estimation; loss visualization
Summary: Catastrophe models capable of rapid data ingestion, loss estimation and visualization are required for postevent analysis of catastrophic events such as earthquakes. This paper describes the design and development of the Automated Post-Event Earthquake Loss Estimation and Visualization (APE-ELEV) system for real-time estimation and visualization of losses incurred due to earthquakes. A model for estimating expected losses due to earthquakes in near realtime is described and implemented. Since immediately postevent data is often available from multiple disparate sources, a geo-browser is described that helps users to visualize and integrate hazard, exposure and loss data.
Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk
Date: Oct 01, 2012
Conf: International Conference for High Performance Computing, Networking, Storage, and Analysis
Ext. Link: Click Here ›
Pillar: Core Technologies & Methods
Hub: Technologies and Platforms
Author(s): A. K. Bahl, O. Baltzer, A. Rau-Chaplin and B. Varghese
Summary: At the heart of the analytical pipeline of a modern quantitative insurance/reinsurance company is a stochastic simulation technique for portfolio risk analysis and pricing process referred to as Aggregate Analysis. This paper explores parallel methods for aggregate risk analysis risk analysis.
Likelihood inference for Archimedean copulas in high dimensions under known margins
Author(s): Marius Hofert, Martin Mächler, Alexander J. McNeil
Summary: This paper gives theoretical insight about how to compute complicated densities in high dimensions (required for estimation)