Development of stochastic typhoon model in Northwest Pacific region and its application to portfolio loss estimation

Consistent and precise portfolio loss estimation due to typhoon damages is an important issue to decision makers in the insurance markets. The loss estimation with smaller uncertainties keeps the advantages in the markets. In this project a framework is established which allows the decision makers for implementing data and information concerning to typhoon events that the decision makers possess at the decision phases into the software tools, at the same rate as the data and the information are obtained.

The established framework enables real time conditioning of possible insured portfolio losses when a typhoon event has initiated, and quasi real time updating of typhoon model when the data are organized. These are facilitated to reduce the uncertainties in the loss estimation. The building stones of the present framework are the Bayesian networks and the Bayesian statistics. The Bayesian networks provide the way for an efficient representation of the probabilistic relations between variables, and the way for an easy access to the probabilistic relations in the process of modifications and extensions of the models. The Bayesian statistics provides the rationale to refine the probabilistic models with data and information. Data can be used to update the models. Information can be used to condition the models and to estimate the insured loss with smaller uncertainty when a typhoon has initiated, see Figure.

Integration of knowledge, data and information into typhoon model.

Prof.Dr. Michael H. Faber, This e-mail address is being protected from spambots. You need JavaScript enabled to view it

Kazuyoshi Nishijima, This e-mail address is being protected from spambots. You need JavaScript enabled to view it

Mathias Graf, This e-mail address is being protected from spambots. You need JavaScript enabled to view it

ETH Zurich

Department of Civil, Environmental and Geomatic Engineering, Institute of Structural Engineering

Chair of Risk and Safety, http://www.ibk.ethz.ch/fa/index_EN