Tool for portfolio loss analysis in the insurance industry in Japan
Client: AON Benfield
Project partner: ETH Zurich
The present project aims at developing a typhoon risk model for portfolio loss analysis facilitated in the insurance industry in Japan. Employing sophisticated probabilistic analysis and modeling techniques with strong background of engineering and science on typhoon risks, we deliver a state-of-the-art probabilistic model for typhoon risk analysis.
The main features of the developed typhoon risk model and the corresponding software tool are:
- Modeling of entire life time of typhoons – from genesis to dissipation considering environmental fields
- Consideration of seasonal differences in the characteristics of typhoon development – e.g. frequency of typhoon occurrence, and transition of typhoons.
The first feature makes it possible not only to assess the risks of portfolios due to possible typhoons in any given year, but also to predict the loss of a portfolio due to a specific typhoon approaching the portfolio; in near-real time. The latter provides useful information to decision makers responsible for e.g. allocation of the human resources for inspecting the damages of exposures, or financial management for possible insurance payments. The second feature allows for assessing, at any time in a year, the risks of portfolios in the remaining period of the business year.