catastrophe risk assessment and management - … · hong kong. 1/23 characteristics of ......
TRANSCRIPT
Catastrophe Risk Assessment and Management
Catastrophe Risk Assessment and Management
Weiling Chiang
Professor, Department of Civil Engineering,National Central University, ROC
December , 2005Hong Kong
11/23/23
Characteristics of Catastrophe EventCharacteristics of Catastrophe Event
High Uncertainty
Low occurrence rate
Tremendous impact
EarthquakeEarthquake、、Super TyphoonSuper Typhoon、、Terrorism AttackTerrorism AttackCatastropheCatastrophe
History loss data is not enough !!.History loss data is not enough !!. Application of Engineering ModelApplication of Engineering Model
22/23/23
Catastrophe Risk Assessment and ManagementCatastrophe Risk Assessment and Management
Risk InformationRisk Information
Risk ManagementRisk Management
RISKHazar
d
Vulnerability
Exposure
RetentionRetention MitigationMitigation TransferTransfer
Risk = Hazard * Vulnerability * ExposureRisk = Hazard * Vulnerability * Exposure
33/23/23
Source: Munich Re (2002)Topics: Natural Catastrophes 2002
Background-Loss of global natural catastrophe incident (10 Year)
$0
$100
$200
$300
$400
$500
$600
$700
1950-1959 1960-1969 1970-1979 1980-1989 1990-1999
Decade
Tot
al L
oss (
$ B
illio
ns)
Uninsured Economic Losses
Insured Economic Losses
$0
$100
$200
$300
$400
$500
$600
$700
1950-1959 1960-1969 1970-1979 1980-1989 1990-1999
Decade
Tot
al L
oss (
$ B
illio
ns)
Uninsured Economic Losses
Insured Economic Losses
44/23/23
Number of events 1970 - 2004Number of events 1970 - 2004
Source: Swiss Re Sigma Report (2005)
55/23/23
Average 200 sensible earthquakes occurred in Taiwan per year.
BackgroundBackground
ML > 4
66/23/23
BackgroundBackground
• Chi-Chi Earthquake struck Taiwan and caused severe damage – September 21, 1999– More than 13,000 injuries– Destruction of more than 50,000 buildings– US$ 11.5 billion economic loss
77/23/23
Earthquake Loss Model FrameworkEarthquake Loss Model Framework
HazardHazardAnalysisAnalysis
VulnerabilityVulnerabilityAnalysisAnalysis
FinancialFinancialAnalysisAnalysis
StochasticStochasticEventEvent
AssessAssessGroundGroundShakingShaking
NTDNTDQuantify Quantify FinancialFinancial
LossLoss
££$$
Calculate Calculate DamageDamage
Define Define EarthquakeEarthquake
88/23/23
Build Event Loss TableBuild Event Loss Table
Stochastic Event generator
Event Table
Magnitude & Hypocenter
HazardAnalysis procedure
0.35 - 0.400.40 - 0.45
0.30 - 0.35
PGA Distribution
0.10 - 0.15
0.20 - 0.250.25 - 0.30
0.15 - 0.20
Intensity
VulnerabilityAnalysis procedure
….
….
….
….
0.65 Billion
Loss$
….
….
….
….
2.00
CV
iL
Policy conditionsDeductible, Limit
Structural, Content, Structural, Content, and BI Losses and BI Losses
ConsideredConsidered
Portfolio
0
10
20
30
40
50
60
70
0 0.2 0.4 0.6 0.8 1 1.2 1.4
Intensity (PGA)
Dam
age
Rat
io(%
)
Building Type IBuilding Type IIBuilding Type III
iλ
….
….
….
0.002
0.010
Annual Mean Rate
….
….
#0003
#0002
#0001
ID
17,71017,710hypothetical hypothetical earthquake earthquake
eventsevents
99/23/23
Build Exceeding Probability CurveBuild Exceeding Probability Curve
How severe?
Severity Distribution(Loss distribution)
How many times?
ii
λ λ=∑ Poisson Model
(Monte Carlo Simulation)
Aggregate & Occurrence loss
Simulation(Monte Carlo Simulation)
0%
2%
4%
6%
8%
10%
0 500,000 1,000,000 1,500,000
Loss (NT$ millions)
Agg
rega
te E
xcee
danc
e Pr
obab
ility
Ground-Up Loss AEP Gross Loss AEP
….
….
….
….
0.65 Billion
Loss$
….
….
….
….
2.00
CV
….
….
….
0.002
0.010
Annual Mean Rate
….
….
#0003
#0002
#0001
IDiλ iL
1010/23/23
Taiwan Residential Earthquake Insurance Pool - TREIPTaiwan Residential Earthquake Insurance Pool - TREIP
• Became effective starting April 1, 2002– EQECAT provides the analysis
• Standard policy terms– Fixed premium NT$ 1,459 proportion to the policy limit
– The contract limit for direct physical damage is fixed as pre-agreed replacement cost subject to a maximum of NT$ 1.2 million.
– Policies also cover additional NT$ 180,000 for contingent living expense.
– The maximum available under TREIP is NT$ 50 billion per event. If loss exceed this amount, policyholder will receive pro rata payments.
– Binary payout; if a constructive total loss occurs, the policyholder is entitled to a payout of the entire policy limit.
1111/23/23
Risk Sharing Structure of TREIP (NT$)Risk Sharing Structure of TREIP (NT$)50 bn
40 bn
30 bn
20 bn
2 bnDomestic Insurers Private Sector
Foundation Layer
Cat Bond (100 million US$)
First Layer Reinsurance
Second Layer Reinsurance
Government Guarantee
1212/23/23
Data Collection of TREIPData Collection of TREIP
• Residential earthquake insurance was taken effectsince April 1 , 2002.
– The effective insurance policies were 1,244,803. until June 30, 2005
– Liabilities accumulates was 1.6 trillions.– The take-up rate is 17.6%
• TREIP data collection was quite intact, include:
– Policy ID– Zip Code– Building Type– Number of stories– Year Built– Insured amount
1313/23/23
Exposure of TREIP Exposure of TREIP
ZONE112%
ZONE1014%
ZONE910%
ZONE61%
ZONE513%
ZONE121%ZONE4
2%
ZONE1.124%
ZONE34%
ZONE81%
ZONE210%
ZONE74%
ZONE114%
Exposure (%)
0 - 5.05.0 10.010.0 -15.015.0 - 20.020.0 - 25.0
Policies DistributionPolicies Distribution
Exposure
-
50
100
150
200
250
300
350
400
450
Z1 Z1.1 Z2 Z3 Z4 Z5 Z6 Z7 Z8 Z9 Z10 Z11 Z12
Am
ount
($) B
illio
n
1414/23/23
Exceeding Probability Curve of LossExceeding Probability Curve of Loss
0
10
20
30
40
50
60
70
80
90
0 200 400 600 800 1000
Return Period(Year)
Eve
nt Lo
ss (
NT$
Bill
ion)
Loss vs. Return PeriodLoss vs. Return Period
1515/23/23
Exceeding Probabilities of Risk Sharing StructureExceeding Probabilities of Risk Sharing Structure
Domestic Insurers Private Sector
324.7yr (0.31%) 50 bn
229.6 yr (0.43%) 40 bn
189.3 yr (0.53%) 30 bn
149.1yr (0.67%) 20 bn
32.2 yr (3.06%) 2 bn
161.9 yr (0.62%) 23.2 bn
Foundation Layer
Cat Bond (100 million US$)
First Layer Reinsurance
Second Layer Reinsurance
Government Guarantee
1616/23/23
Background - Typhoon definitionBackground - Typhoon definition
TaiwanTaiwan Hong KongHong Kong SaffirSaffir--Simpson Scale Simpson Scale (US)(US)
TypeType WindsWinds(Near center)(Near center) TypeType WindsWinds
(Near center)(Near center) TypeType WindsWinds(Near center)(Near center)
Slight Slight TyphoonTyphoon 62~117 km/hr62~117 km/hr Tropical Tropical
DepressionDepression 63 km/hr63 km/hr Category 1Category 1 118118--152 km/hr152 km/hr
Moderate Moderate TyphoonTyphoon 117~183 km/hr117~183 km/hr Tropical Tropical
StormStorm 6363--87 km/hr87 km/hr Category 2Category 2 153153--176 km/hr176 km/hr
Violent Violent TyphoonTyphoon
183 km/hr 183 km/hr aboveabove
Violent Violent Tropical Tropical
StormStorm8888--117 km/hr117 km/hr Category 3Category 3 177177--207 km/hr207 km/hr
TyphoonTyphoon 117 km/hr 117 km/hr aboveabove Category 4Category 4 208208--248 km/hr248 km/hr
Category 5Category 5 249 km/hr above249 km/hr above
1717/23/23
Characteristics of HAITANG TyphoonCharacteristics of HAITANG Typhoon
Max Winds (m/s) 53
Max Winds (mph) 119.25
TYPE (TW) Violent Typhoon
TYPE (US) Category 3
Data from Central Weather Bureau
1818/23/23
Statistics of Typhoon trackStatistics of Typhoon track
Track 1 : 27%
Track 2 : 13%
Track 3 : 32%
Track 4 : 12%
Track 5 : 6%
Track 6 : 7%
Track 7 : 4%
1919/23/23
Basin23
Basin2
Basin15
Basin13
Basin19
Basin16
Basin26
Basin6
Basin18
Basin30
Basin11
Basin21
Basin9
Basin3
Basin5
Basin8
Basin33
Basin14
Basin12
Basin25
Basin10
Basin7
Basin20
Basin1
Basin29
Basin24
Basin22
Basin31
Basin27
Basin32
Basin28
Basin4
Basin17
Flood map-Data from the National Science CouncilFlood map-Data from the National Science Council
• There are 33 basins in Taiwan.• The greater part of inundation potential map
for each basin are established in 200 × 200 meter resolution. Only Taipei and part of Tao-Yuan areas are 40 × 40 meter resolution.
• There are 4 levels of rainfall for flood map such as 150,300,450,600(mm).(GIS format)
150 mm 300 mm
450 mm 600 mm
2020/23/23
Build Basin Loss Table (Policy Level)Build Basin Loss Table (Policy Level)
Policy Policy LocationLocation
Basin MapBasin Map
150mm150mm Flood Flood potential mappotential map
300mm300mm Flood Flood potential mappotential map
450mm450mm Flood Flood potential mappotential map
600mm600mm Flood Flood potential mappotential map
Vulnerbility Curve
00.10.20.30.40.50.60.70.80.9
0 1 2 3 4Depth
Da
ma
ge
Ra
tio
(Commercial, Residential, Industrial)(Commercial, Residential, Industrial)
Basin 150MM(Loss, P)
300MM(Loss, P)
450MM(Loss, P)
600MM(Loss, P) Mean Stdv
Basin1 (0.1bn,0.1) (0.2bn,0.3) (0.4bn,0.8) (0.7bn,0.9)
(0.5bn,0.8)
… …
(1.1bn,0.9)
0.6
Basin2 (0.2bn,0.2) (0.3bn,0.5) (0.4bn,0.7)
14.7
10.8
… …
1.3
… … … … … … … … … …
Basin33 (0.3bn,0.1) (0.7bn,0.4) (0.8bn,0.7) 14.9 1.4
GIS ToolGIS Tool
PortfolioPortfolio
Hazard Analysis
Vulnerability Analysis
Policy Conditions
Basin Loss Table
2121/23/23
Basin Loss TableBasin Loss Table
Correlation Matrix TableCorrelation Matrix Table
Build Exceeding Probability CurveBuild Exceeding Probability Curve
(1.1bn,0.9)
… …
(0.5bn,0.8)
(0.7bn,0.9)
600MM(Loss, P)
14.9
… …
10.8
14.7
Mean
1.4(0.8bn,0.7)(0.7bn,0.4)(0.3bn,0.1)Basin33
… …… …… …… …… …
1.3(0.4bn,0.7)(0.3bn,0.5)(0.2bn,0.2)Basin2
0.6(0.4bn,0.8)(0.2bn,0.3)(0.1bn,0.1)Basin1
Stdv450MM(Loss, P)
300MM(Loss, P)
150MM(Loss, P)
Basin
(1.1bn,0.9)
… …
(0.5bn,0.8)
(0.7bn,0.9)
600MM(Loss, P)
14.9
… …
10.8
14.7
Mean
1.4(0.8bn,0.7)(0.7bn,0.4)(0.3bn,0.1)Basin33
… …… …… …… …… …
1.3(0.4bn,0.7)(0.3bn,0.5)(0.2bn,0.2)Basin2
0.6(0.4bn,0.8)(0.2bn,0.3)(0.1bn,0.1)Basin1
Stdv450MM(Loss, P)
300MM(Loss, P)
150MM(Loss, P)
Basin
0
100
200
300
400
500
600
700
800
0 200 400 600 800 1000
Return period (Years)
Eve
nt
Loss
(M
illio
n)
TRM_Typhoon
How many times?
Poisson Model
(Monte Carlo Simulation)
@Risk Developer Kit@Risk Developer Kit
1
… …
0.14
0.23
Basin33
… …0.230.75Basin33
… …… …… …… …
… …20.33Basin2
… …0.81Basin1
… …Basin2Basin1
1
… …
0.14
0.23
Basin33
… …0.230.75Basin33
… …… …… …… …
… …20.33Basin2
… …0.81Basin1
… …Basin2Basin1
Typhoon/FloodDatabase
Frequency Distribution Severity Distribution
( )
yearMinlossaggregateL
baBofeventioflossL
yearMineventsofnumberN
LLLLL
thM
ththiB
thM
N
iiBiBiBiBM
M
:
sin?:
:
?,
1,33,3,2,1∑
=
++++= KK
Simulated M times
EP Curve
2222/23/23
0
1
2
3
4
5
6
7
8
9
10
0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32
Loss(1 Billion)
Exce
edin
g Pr
obab
ility
(%)
Application of Loss Exceeding Probability CurveApplication of Loss Exceeding Probability Curve
17 Billion
PML Capital arrangement
Insurance ,Cat Bond
Risk Tolerant
Probable Maximum Loss
2323/23/23
SummarySummary
• Application:
– Engineering model can help decision maker to assess
the risk and to help developing the management
strategy in catastrophe event such as Earthquake or
Typhoon.
• Further research :
– Time – dependent
– Business interruption
• Application:
– Engineering model can help decision maker to assess
the risk and to help developing the management
strategy in catastrophe event such as Earthquake or
Typhoon.
• Further research :
– Time – dependent
– Business interruption
Thank YouThank You