[INSURANCE] Trends in extreme extratropical cyclones and non-indemnity insurance risk

这一合作项目的主要目的是量化欧洲极端温带气旋的趋势及其对巨灾债券等非弥偿再保险合同有效设计的相关影响。该项目将大气和气候科学的想法与统计技术和模型相结合，以一种新的、令人兴奋的跨学科方法来解决金融和保险领域的问题。该奖学金将由埃克塞特大学和全球领先的保险和再保险经纪公司Willis Re共同管理。气候变化预计将影响热带外气旋的行为。最近的研究使用耦合模型或高分辨率耦合模型的集合来观察强度的变化。然而，区域和地方对风暴变化的预测仍然存在很大的不确定性，部分原因是温带气旋物理特征的时空变异性(在多年到数十年的尺度上)。此外，以前发表的科学研究中使用的许多暴风雨衡量标准(如带通过滤风暴轨迹)与地面风速的极端值没有直接关系，这与欧洲与保险有关的风暴风险评估有关。这个项目的想法是使用与当前非赔偿保险实践直接相关的暴风雨措施。在非赔偿保险中，使用保险损失的代理衡量标准，而不是实际的保险损失。支付的触发可以是指数(例如，基于风速)、或参数(例如，基于震级)、或者甚至基于模型输出。非弥偿保险产品包括行业损失保证、巨灾债券或简单的指数产品。人们对非弥偿保险的兴趣与日俱增，也是因为它为资本市场打开了潜在的投资者基础，投资者在资本市场寻找不相关的资产。我们的基本方法是开发灾难风暴模型的简化版本，使我们能够研究极端温带气旋的趋势和时空变异性对上述性质的保险产品的影响。数据将来自ERA-40和ARE再分析，以及气象局全球气候模型(HadCM3)的一系列运行。作为保险风险敞口的代理，我们将使用全球人口的LandScanTM数据库。这些信息将被输入到简化的损失模型中，从而产生建模的损失时间序列。这些将被用来评估各种参数触发结构的稳健性，同时考虑到风暴的空间和时间变化趋势。学生将主要在埃克塞特大学的埃克塞特气候系统研究中心工作，该中心为博士生提供了一个鼓舞人心的研究环境。他/她将接受关于量化气象灾害造成的风险以及复杂天气和气候过程的数学和统计模型的培训。学生将学习操作大型气象数据集，并使用最先进的统计模型进行分析。学生还将受益于在Willis Re首席精算师(案例合伙人)的监督下工作，获得现代保险行业实践的第一手经验，以建模自然灾害造成的巨额损失风险。这种学术和行业相关技能的综合培训将为学生提供广泛的就业机会。对案例合伙人的好处包括通过更适当地量化非弥偿产品的基本风险来加强风险管理，鉴于2009年4月22日欧洲议会全体会议通过的实施日期为2012年10月31日的偿付能力II框架指令中的资本和风险管理要求，这一点非常重要。

The main aim of this collaborative project is to quantify the trends in extreme extratropical cyclones in Europe and the related impacts on the effective design of non-indemnity reinsurance contracts such as catastrophe bonds. The project combines ideas from atmospheric and climate science with statistical techniques and models to tackle a problem in finance and insurance in a new, exciting interdisciplinary approach. The studentship will be jointly managed by the University of Exeter and Willis Re, a leading global insurance and reinsurance broker. Climate change is expected to affect the behaviour of extra-tropical cyclones. Recent studies have used ensembles of coupled models or high resolution coupled models to look at changes in intensity. There remains, however, a large amount of uncertainty in the regional and local predictions of changes in storminess, partly due to the spatio-temporal variability (on multi-annual to multi-decadal scales) of the physical characteristics of extratropical cyclones. Moreover, many measures of storminess used in previously published scientific studies (such as band-pass filtered storm track) are not directly related to extremes in surface wind speeds, of relevance for assessment of insurance-related windstorm risk in Europe. The idea of this project is to use measures of storminess which are directly relevant for current practice in non-indemnity insurance. In non-indemnity insurance, a proxy measure of insured loss is used instead of the actual insured losses. The trigger for payment may be an index (e.g. based on wind speed), or parametric (e.g. based on earthquake magnitude), or even based on model output. Non indemnity insurance products include Industry Loss Warranties, Catastrophe Bonds, or simply an Index Product. There is growing interest in non-indemnity insurance, also because it opens up the potential investor base to the Capital Markets, where investors look for non-correlated assets. Our basic approach is to develop simplified versions of catastrophic windstorm models which allow us to study the effect of trends and spatio-temporal variability in extreme extratropical cyclones on insurance products of the above described nature. Data will be used from the ERA-40 and ACRE reanalyses and from an ensemble of runs of the Met Office global climate model (HadCM3). As a proxy for insurance exposures, we will use the LandScanTM database of worldwide population. This information will be fed into the simplified loss model, yielding modelled loss time series. These will be used to assess the robustness of various parametric trigger structures taking into account the trends in spatial and temporal variability of the storms. The student will be based mainly at the Exeter Climate Systems research centre at University of Exeter, which provides an inspiring research environment for doctoral students. He/she will receive training in the quantification of risk due meteorological hazards and in the mathematical and statistical modelling of complex weather and climate processes. The student will learn to manipulate large meteorological datasets and perform analysis using state-of-the-art statistical models. The student will also benefit from working under the supervision of the chief actuary at Willis Re (the CASE partner), gaining first-hand experience in modern insurance industry practices for modelling risk of large losses due to natural catastrophes. This combined training in academic and industry relevant skils will provide the student with a large range of employment opportunities. Benefits for the CASE partner include enhanced risk management through more appropriate quantification of basis risk in non-indemnity products, which is important in view of the capital and risk management requirements in the Solvency II Framework Directive that was adopted by the European Parliament's plenary session on 22 April 2009, with an implementation date of 31 October 2012.