Beruflich Dokumente
Kultur Dokumente
Tornado Alley
South East
Salient
1
R i s k
A d v i s o r y
S e r v i c e s
2/11/2014
Vendor Participation
o Thanks!
Model: US SCS Jan. 2014 Platform: RiskLink 13.1 Events: 58 k + high frequency background
Salient
R i s k
A d v i s o r y
S e r v i c e s
2/11/2014
o 2014 Focus
Frequency Annual Freq. of $1 loss Severity - Expected Loss Location variability Coef. Var. Portfolio Risk - 100 yr. TVar
o 3 Grid Portfolios
~250k grid locations Residential - $ 200 k Bldg.
o 3 Hypothetical Portfolios
Commercial & Residential Varied replacement values Bldg., Contents & BI 300 k locations / $ 60 B TIV - total all 3 portfolios
Salient
R i s k A d v i s o r y S e r v i c e s
2/11/2014
o Risk Management
Given the challenges noted above: How do the models accumulate losses in:
A Single Occurrence? The Annual Aggregate?
o Model Usage
Best practices?
From single location UW to Port. Mgmt.
Whats next?
Any Black Swans?
Salient
R i s k A d v i s o r y S e r v i c e s
2/11/2014
Frequency Comparison
o Relative Scale
Left to right - Low to high
o Same
Includes all modeled sub-perils
AIR
o Different!
Expectations Basis Granularity Approach SCALES!
Not possible to map on same scale!
EQE
RMS*
Salient
Maps by Munich Re
2/11/2014
AIR
EQE
RMS*
Kansas Oklahoma
Salient
R i s k
A d v i s o r y
S e r v i c e s
2/11/2014
AIR
o Different!
Granularity Distribution of Expected Losses AIR
Centralized
EQE
Kansas Oklahoma RMS
EQE
Oklahoma
RMS
43.4 82.0 96.3
EQE AIR RMS
Salient
R i s k
A d v i s o r y
S e r v i c e s
2/11/2014
AIR 23.3
EQE 23.3
RMS 28.6
IN
OH KY
Salient
AIR 22.7 R i s
A d v i s o r y
S e r v i c e s
EQE 24.1
RMS 25.2
11
2/11/2014
o General
Totals more similar than distributions of individual location E[L] Greatest $ difference in Tornado Alley
GU AAL by State ($ m)
58 49 38 33 23 21
11 11 4 5 4
15 4 4 4 3 3 3 5 5 7
GA
MS
TN
KS
OK
12
Salient
R i s k
A d v i s o r y
2/11/2014
o Vendor Submissions
Comparisons difficult More discussions in tomorrows presentations
Tornado Alley
EQE RMS
AIR
All sub-perils
EQE
All sub-perils Tornado Hail
RMS
All sub-perils Tornado Hail SL wind Low Freq. Events
Ohio Valley
EQE RMS
South East
EQE RMS
Hail
Tornado
R i s k
SL wind
A d v i s o r y
Hail
S e r v i c e s
Tornado
SL wind
Hail
Tornado
SL wind 13
Salient
10
2/11/2014
High correlation between location values ($) E[L] and Std. Dev. Selected example using Tornado Alley Same scale used for each vendor (i.e. 1 for E[L], 1 for Coef. Var.) Relative Scale
Left to Right Low to High
AIR EQE Cv RMS Cv
Cv
Kansas Oklahoma
Salient
R i s k
A d v i s o r y
S e r v i c e s
Maps by Munich Re 14
11
2/11/2014
o General
SCS peril much more likely to have multiple loss occurrences in a year Risk Metric 100 year Tail Value at Risk (TVaR) (estimated by dots on graph)
300 250 Estimated Losses ($ m)
AIR - AEP EQE - AEP EQE - OEP RMS - AEP RMS - OEP
200
AIR - OEP
150 100 50 0 2 20
R i s k A d v i s o r y S e r v i c e s
200
15
Salient
12
2/11/2014
o General
SCS peril much more likely to have multiple loss occurrences in a year Risk Metric 100 year Tail Value at Risk (TVaR) (estimated by dots on graph)
300 250 Estimated Losses ($ m) 200 150 100 50 0 2 20
R i s k A d v i s o r y S e r v i c e s
200
16
Salient
13
2/11/2014
o General
SCS peril much more likely to have multiple loss occurrences in a year Risk Metric 100 year Tail Value at Risk (TVaR) (estimated by dots on graph)
300 250 Estimated Losses ($ m) 200 150 100 50 0 2 20
R i s k A d v i s o r y S e r v i c e s
200
17
Salient
14
2/11/2014
Mapping each grids contribution to the portfolio TVaR is one way to help visualize how locations contributed to tail losses. Contribution TVaR & E[L] can be distributed very differently within any portfolio. Relative Scale
Left to Right Low to High
AIR
EQE
RMS OH
OH
OH IN KY IN KY IN KY
Salient
R i s k
A d v i s o r y
S e r v i c e s
Maps by Munich Re 18
15
2/11/2014
o Recap
Frequency Different distributions and granularities E[L] & Variability - Challenges smoothing small footprints, population based grids, event set sizes and sub-peril assumptions Portfolio Risk Multiple occurrences more likely in an give year and each model accumulates loss potential differently
o 3 Hypothetical Portfolios
Commercial & Residential Varied replacement values Bldg., Contents & BI 300 k locations / $ 60 B TIV - total all 3 portfolios Nominal deductibles - $ 1k & $2k options
Salient
R i s k
A d v i s o r y
S e r v i c e s
16
2/11/2014
o South East
~155 k locations, $ 19.4 B Bldg. values, $ 26.3 B total replacement cost
45
South East
33 26 24 16 7 19 8
17 11 10
16 9
15
17 17
17
GU
GR_1k
GR_2k
GU
GR_1k
GR_2k
GU
GR_1k
GR_2k
Salient
R i s k
A d v i s o r y
S e r v i c e s
20
17
2/11/2014
Lower MW
Look Similar? Geographic Differences
MO OK & N. TX So. TX
Relative Scale
AIR
Sub-Perils
EQE
Other
Analysis Granularity / smoothing No. of events / simulated years
11
AIR
17
45 Ground Up Annual Expected Loss ($ M)
EQE RMS
Salient
R i s k
A d v i s o r y
S e r v i c e s
Maps by Munich Re 21
18
2/11/2014
GU AAL by State ($ m)
15.0
10.0 5.0 0.6 1.1 0.0 IA 6.0 5.0 4.0 3.0 2.0 1.0 0.0 Masonry Mobile
A d v i s o r y
AIR EQE RMS 6.4 4.5 2.0 1.0 1.2 KS 4.7 4.0 3.5 6.4 4.1 3.7
15.3
0.8 1.3
MO
2.7
0.7 0.9
NE OK TX
1.5 0.2
1.4
1.7
0.6
Concrete
S e r v i c e s
Wd Frm
22
Salient
R i s k
19
2/11/2014
Upper MW
Look Similar? Geographic Differences
o Relative Scale
Left to right - Low to high EQE
AIR
Sub-Perils
RMS
Other
AIR
18
24 Ground Up Annual Expected Loss ($ M)
EQE RMS
Salient
R i s k
A d v i s o r y
S e r v i c e s
20
2/11/2014
GU AAL by State ($ m)
3.8 3.1 2.5 1.0
1.2 0.5 IN KY MI 1.2 1.1 2.6
RMS
2.1
2.0
0.4
Unknown
Wd Frm
24
Salient
R i s k
21
2/11/2014
South East
o Relative Scale
Left to right - Low to high
Geographic Differences
West of the Appalachians TN, MS & AL Virginia
AIR
Sub-Perils
Different East to West? Terrain Impact?
EQE
Other
Analysis Granularity / smoothing No. of events / simulated years
RMS
Salient
R i s k
A d v i s o r y
S e r v i c e s
Maps by Munich Re 25
22
2/11/2014
9.0
GU AAL by State ($ m)
6.8
6.1
3.4 2.4 2.3 0.6 GA 1.1
3.5
2.1
1.1
1.3
1.8 0.6
MS
NC
SC
TN
0.8
0.5
0.2 0.0 Concrete
S e r v i c e s
0.3
Salient
R i s k
23
2/11/2014
Estimated Losses ($ m)
Estimated Losses ($ m)
Salient
24
2/11/2014
28
25