RQE – EQECAT`s new platform

RQE – EQECAT’s new platform
Risk Quantification & Engineering
EQECAT Models – Global Coverage
• Covering 90% of Global GDP – spanning the insured
world; 181 peril models for 95 countries
Americas/Caribbean:
•39 EQ countries
•32 TC countries
•3 WS countries
•GOM Offshore Energy
•US EQ Workers Comp
•US Flood
•US Tornado/Hail
•US Wildfire
•US Winterstorm
Europe:
•22 EQ countries
•28 WS countries
•5 Flood countries
Africa/Middle East:
•12 EQ countries
•4 TC countries
•4 WS countries
Asia/Pacific:
•14 EQ countries
•11 TC countries
•1 WS country
Catastrophe Risk
Foundation of CAT Modeling
Multi-Disciplinary Research
Meteorologist
Structure
Engineer
Statistician
Operation
Researcher
Seismologist
Mathematician
Hydrologist
Geotech
Engineer
Software
Engineer
Actuary
EQECAT Catastrophe Models – A story of innovation
EQECAT
Transformation
begins
Wholly-Owned by EQE
1.
EQECAT founded
as JV between EQE
and GC
EQE International
Founded
1981 1987
1992 1994
1998
Professional Service Provider of
Year – Review
EQE International Acquired by
ABS Group
2000
Eurowind – based on
Historic SLP Records
EQE Develops
EQ Model for
Engineering
Support
EQE Develops
1st EQ FF Model
Develops 1st EQ
Sprinkler Leakage
Model
2001
Professional Service
Provider of Year Review
Named "Best Risk
Modeling Firm" at
2011 Reactions
Global Awards
Warm AMO HU Freq.
1st to use soils based
attenuation
1st to adopt UCERF 1.0
2003
2006
2010 2011 2012 2013
2009
Eurowind
Euroquake Hybrid Model
Germany Austria
Regional
Flood in WCe
model
Develops 3D EQ Fault Model/
T&H and Winterstorm Models
Spectral Parameters
Eurowind – Measured Wind Speeds
Develops Time Dependency EQ Model
Dynamic Financial 150,000 Year Model
st
Conducts Analytics for 1 Securitization
Develops NE Asymmetrical Storm Methodology
Helps in Formation of CEA
Euroflood Aggregate Model
Releases WORLDCATenterprise platform
RQE V 13
Released
Named "Best Risk
Modeling Firm" at
2012 Reactions
Global Awards
New basin-wide Asia Typhoon
(incorporating wind, storm surge,
and rainfall flooding) wins
Innovation of the Year at Asia
Insurance Awards
RQE
Science
Analytics
Platform
The Principles for RQE
Which part of Cat Modeling is important to you?
• The Science
– Treatment of uncertainty
– Transparency
– Methodology
• The Analytics
– Modeling the complexity of the (re)insurance conditions
– Confidence in the results
• The Platform
– Integration into the workflow
– Scalability for performance
RQE
Science
Analytics
Platform
RQE - The Science
RQE
Science
Analytics
Platform
The Science
Cat modeling deals with uncertainty
• We improve our understanding in order to
– Quantify the random element
– Reduce the epistemic element
• Following are some examples
Types of Uncertainty
Epistemic – lack of understanding, reduced by better knowledge
Aleatoric – inherent randomness, can quantify but not reduce
UNDERSTANDING AND MODELING OF UNCERTAINTY
• Understanding uncertainty in
– Hazard
– Vulnerability
– Modeling
RQE
Science
Analytics
Platform
The Science: Earthquake
•
Methodology
–
–
•
World-class scientists
–
–
•
Dr. Ken Campbell, Vice President of Model Development: With over 40 years of
seismic hazard evaluation experience is one of the world’s leading experts on ground
motion attenuation, formerly with the USGS, and a current member of the USGS
National Seismic Hazard Mapping Advisory Panel
Paul Thenhaus, Senior Geologist: With 36 years of seismic hazard evaluation
experience, spent the first 17 years of his career with the USGS on the National
Seismic Hazard Mapping Team and has served as the lead investigator on numerous
seismic hazard evaluations worldwide.
Relationships
–
•
Soil-based attenuation
Time dependency
Close collaborative relationships with many of the world’s national seismic hazard
agencies, including: the United States Geological Survey (USGS), Geological Survey
of Canada (GSC), Geoscience Australia (GA), and Geological and Nuclear Sciences
New Zealand (GNS), and many others.
CEA Exclusive:
–
EQECAT, maintains a close relationship with the California Earthquake Authority (CEA)
and remains the only commercially available earthquake model used by the CEA for
pricing their policies
RQE
Science
Analytics
Platform
Earthquake: Soil-Based Attenuation
Leading Edge Technology
•
•
Attenuation is a source of
significant uncertainty
New methodology developed
to avoid unnecessary bias
Rock (orange & brown)
Burbank
Hollywood
Soil (yellow & green)
Downtown LA
Soil-Based Attenuation:
• Captures exposure better
– more exposure is located on soil
• Reflects the measured data
– more ground motion recordings
are located on soil
• Smaller amplification factors
– Less uncertainty in losses
RQE
Science
Analytics
Platform
The Science: Topical Cyclone Model
•
•
Pioneers in creating basin wide model- North Atlantic Model and Asia Typhoon
Model
North Atlantic Hurricane Model
–
Methodology:
•
•
–
Expert review
•
•
–
EQECAT’s North Atlantic Hurricane Model has been successfully certificated by the FCHLPM
since the inception of the process in 1997.
Asia Typhoon Model
–
–
–
Widest Geography coverages- 9 territories (7 countries)
First to introduce a basin wide model, with detailed winds, storms surge and rainfall
flooding model
Expert review
•
•
Robert Tuleya, formerly with the GFDL Hurricane group and presently developing and
upgrading the next generation HWRF, reviewed EQECAT’s hurricane windfield model
Dr. Gamil Serag Eldin and Dr. Kashif Ali performed independent reviews of the computer
science aspects of the model in 2013
Model Certification
•
•
High resolution, 16 Directional time stepping wind field model
Near Term view of risk based on AMP (Atlantic Multi-Decadal Oscillation)
Prof. Johnny Chan, City Univ. of Hong Kong; Director, Guy Carpenter Asia-Pacific Climate
Impact Centre and others
Date Stamping for all events within weather peril models.
RQE
Science
Analytics
Platform
The Science: Eurowind
RQE
Science
Analytics
Platform
Windspeed Modeling
•
Eurowind is based on actual windspeeds
•
Uncertainty propagates from hazard to loss
•
Using accurate windspeeds reduces a large
element of this uncertainty
Loss (€)
Vulnerability (%)
Maximum Windspeed:
over 75m/s (146Kts)
Temperature Range:
-50 to +70 °C
Accuracy:
1% of reading between
10 and 55 m/s, 2%
above 55m/s
Hazard (m/s)
Engineering-Based Vulnerabilities
•
•
Draw upon ABS’ years of experience and
access to global expert engineers
Continuous feedback loop with ABS:
– Thousands of seismic evaluation studies
– Over 90 Post Earthquake investigations and
retrofitting
– Offshore energy platform classification
•
Derived from & validated by
– Historical damage & claims
– Engineering analysis: consistency,
comprehensiveness
– Post event investigations (largest experience
database)
– Expert opinion (code, similarity, local
conditions, etc.)
EQECAT
Catastrophe
Modeling
Insurance and Financial Com m unities
ABS Consulting
Risk Management &
Engineering
Consulting
RQE
Science
Analytics
Platform
RQE - The Analytics
RQE
Science
Analytics
Platform
The Analytics
Cat modeling is about pricing and capital allocation
– Can we model the complexities of our policy wordings?
– Are we capturing the tail of the distribution?
– How confident am I in the results?
RQE
Science
Analytics
Platform
Simulation with Discrete Samples
100%
90%
Sample Damage and Loss Ratio
80%
70%
60%
50%
Sample statistics are
easy to calculate – sum
all samples and divide by
the number of samples.
The loss calculation is
performed on each
individual damage
sample.
In this example, the
average damage = 12%,
and sigma is about 15%.
In this example,
•Deductible =5%
•Limit = 25% of TIV
40%
30%
GU Damage
20%
10%
0%
Gross Loss
Sample
RQE
Science
Analytics
Platform
10
9
8
7
6
5
3
0
0
1
2
3
Any aggregation Level
0
5
10
15
20
25
30
35
0
1
2
3
4
5
6
7
8
9
10
(e.g. Portfolio Level)
40
4
5
6
7
8
0
0
2
6
4
8
10
12
0
5
0
10
25
20
15
40
35
30
1
1
1
2
2
2
3
3
3
2
1
0
5
0
10
20
15
25
4
4
4
4
5
5
5
6
6
6
7
7
7
8
8
8
9
9
9
10
10
10
Modeling of Correlation
Event Frequency
SRA 300,000
Years
RQE
Science
Analytics
Platform
Simulated Losses
Each event becomes multiple outcomes throughout the simulation period
Frequency distribution used to set which years
Stochastic event set
Severity distribution samples
set the loss in each year
Year Loss Table (YLT) is list
of losses in each year
RQE
Science
Analytics
Platform
Loss Metrics – all derived from YLT
Expected annual loss
EAL = Mean sum of losses for all years
Per occurrence exceedance
OEP = Sort vector of Max loss per year
Annual aggregate exceedance
AEP = Sort vector of Sum of losses in each year
Event Loss Table
ELT = Mean & SD of losses for each event
RQE
Science
Analytics
Platform
Portfolio Accumulation
YLT-1
Accumulation: Simply add the losses for each event in
each year
Marginal effects: Simply add or subtract the target
YLT
Combined YLT
YLT-2
YLT-n
RQE
Science
Analytics
Platform
RQE - The Platform
RQE
Science
Analytics
Platform
The High Performance Platform
Cat Modeling now fits efficiently into workflow
RQE is:
– Configurable : to import data directly
– Scalable : to obtain high speed efficiency
– Transparent : to validate inputs and outputs
RQE
Science
Analytics
Platform
The Enabling Platform
Performance Architecture
A Scalable
and Manageable
B
Insured Exposure Data
A model for today’s business
Analysis Cluster
Output Results
CFor Integration
with Models and tools
D
Workstation
Server
Graphical and programmatic interfaces
The flexibility needed in today’s world
RQE
Science
Analytics
Platform
Performance Architecture
RQE 13
Future
•
•
•
•
2 clients
• Java GUI
• XML API
Scalable App Server
• Wintel
• Proprietary
cluster launch
SQL Server dBase
• Standard
edition
•
•
2 clients
• Java GUI
• XML API
Scalable App Server
• Wintel
• HPC / Azure
cloud support
SQL Server dBase
• Standard
edition
• Enterprise
edition
RQE
Science
Analytics
Platform
Performance Scalability
Analyses are de-composed into a
serialized queue of parallel tasks.
Large analyses consist of hundreds of
tasks
Smaller tasks are run in parallel
Analyses are processed in FIFO queues
Multiple queues enable the
prioritization of jobs
RQE
Science
Analytics
Platform
RQE Databases
System
User
• EQECAT Common – Basic tables to control
licensing and features
• EQECAT System – Read-only tables for
features
• EDB, IDB, RDB – A trio of databases for a
single exposure grouping (exposure,
results, intermediate binary files)
• User databases can be shared (copied)
between RQE users
RQE
Science
Analytics
Platform
Fitting the Workflow - Import
Convenient import from a variety of sources
Source type:
– Single file
– Relational fileset
– SQL database
Data format:
– Spreadsheet (.xlsx, .xlsm)
– Text file (.txt, .csv)
– SQL Server database
RQE
Science
Analytics
Platform
Fitting the Workflow - Templates
Use of templates allows minimal mouse clicks!
RQE
Science
Analytics
Platform
Fitting the Workflow - Automation
• Embed into the corporate workbench
–
–
–
–
Import exposure
Retrieve results
Manage databases
Full functionality
• API and associated tools
– XML-based
– Implement with .Net, VBA, etc.
• Advantages
– Less user training
– Fits into the standard workflow
EQECAT’s Office Locations
• San Francisco Bay Area
Global headquarters; Executive,
model and product development
• New York Area
(Oakland, CA)
(Hackensack, NJ)
Executive, client development,
product support
Oakland, CA
• Irvine, California
Software development
• London, UK
Client development, product support
• Paris, France
Model development, client development
• Tokyo, Japan
Client development, product support
•
Hackensack, NJ
India
Software development
London, UK
Thank You
www.eqecat.com/