Catastrophe Risk Modelling
Tuesday 11 May 2010 at 18:00
Staple Inn
Shane Latchman
Shane Latchman will present a paper that gives an overview of a catastrophe model (known as cat models in the industry), introducing its component modules - Hazard, Vulnerability and Loss.
Then we will look at the power law of the Gutenberg-Richter distribution that governs earthquake frequency and describe the role of a vulnerability function for estimating building damage.
Then there will be a discussion of how ground up losses from cat events are manipulated to obtain the losses to an insurer.
Concepts such as Exceedance Probability curves would be introduced, as well as the mathematical concept of convolution. Metrics associated with catastrophe modelling such as the concept of return periods, Tail Value at Risk and percentiles around an Exceedance Probability curve will be introduced.
There is no need to register in advance for this event. Refreshments will be available from 5:30pm for a 6pm start. Following the meeting there will be a free drink and buffet at a nearby pub.
Attachment: SIAS Presentation 110510.pdf (1069Kb)
Additional Attachment: 02. Presentation.mp3 (28001Kb)