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Page history last edited by PBworks 16 years, 5 months ago

Catastrophe Modelling





Summary of topic


There are three major catastrophe modelling companies RMS, AIR and Eqecat. Their models are used around the world to assess aggregations of risk, price reinsurance products, price cat bonds and feed into ICAs. They have been the subject of critism recently as the losses sustained under hurrican Katrina are greater than the models predicted; in fairness to the models this is because they exclded flood damage which is a major component of the loss.


Actuaries working on General Insurance ICAs would be well advised to become familiar with the theory behind these models. They are of great interest in general as they offer a different type of modelling than the statistically based actuarial DFA models.


This site is under construction; I would like to add a reading list section and will then put up reviews as I read them - feel free to add to my list!



Those working on the topic


Trevor Maynard


Getting started


The Mathematics of Natural Catastrophes by Gordon Woo is a good start.


The following websites are useful:


unisys - This page provides access to a wealth of hurricane information including charts on the track of the storm plus a text based table of tracking information


AOML - FAQs - this gives the answers to some frequently asked questions like "what is a tropical depression"; it is useful if you are struggling with the jargon!


AIR Alert Worldwide - the map is powerful, you can choose a peril and a period - then the relevent events (i.e. for the chosen peril within the chosen period) are plotted on the map; this site also gives some good basic explanations of terms; just click on the icons under the map.


Joint typhoon warning centre


Tropical Storm Risk TSR - This is good site for both tracking current activity, and also for sourcing past data on hurricanes.



National Hurricane Centre - this site is must! They have lots of historical data and also monitor the current situation carefully. They also have an XML feed so you can add them to your RSS aggregator (for example sharp reader).



Reading List


Anyone feel free to add suggestions




Our findings to date








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