Time-dependent Earthquake Risk Modelling

随时间变化的地震风险建模

• 批准号: 2261161
• 金额: --
• 依托单位: University College London
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2019
• 资助国家: 英国
• 起止时间: 2019 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2261161
• 关键词: Time; dependent; Earthquake; Risk; Modelling

It is nowadays well established in the scientific community and (re)insurance industry that earthquakes tend to interact with each other. Hence, time-independent approaches often used in catastrophe models are not able to fully capture the actual earthquake occurrence and the associated risk. Recent events have shown that earthquakes tend to cluster in space and time, e.g. the 2011 Canterbury earthquake sequence, and that aftershock sequences can increase the local seismicity for decades, e.g. following the 2011 Tohoku earthquake. WRN & Willis Re have already embarked on a research project with Temblor.inc towards the better quantification of the risk following a major earthquake. This has allowed us to transform our models from capturing the historical long-term average view of earthquake frequency and hazard, to forward-looking models that better capture the new stress, and as a result, rate conditions expected after a major event. This is done by revising the assumed earthquake rates within the models (which are by default modelled as independent events) with direct implications for the PML estimates, affecting reinsurance decisions related to the amount of vertical capacity purchased and structuring of reinsurance programs.In reality, the issue is even more complex due to the fact that following a major event, an extensive aftershock sequence will be produced with events dependent on each other (i.e. clustered in both space and time). The areas where these events are expected to happen are largely correlated with areas of stress increase estimated by the Temblor work for any given event. Many of these aftershocks will be of small magnitude, though a number of them will also be damaging as we saw in a number of recent large earthquakes (e.g. 2011 Tohoku, 2011 Christchurch EQ sequence, 2018 Lombok (Indonesia) events). This PhD project will thus look at incorporating within a catastrophe modelling framework the generation of the full aftershock sequence and its associated events within the stochastic event set. Capturing not only the rate changes associated with an earthquake, but actually the full clustered event set will also us to take the forward-looking view of the models one step further, with direct implications not only on vertical capacity and PML estimates, but also on the AEP curve, aggregate covers and hours clauses.

如今，在科学界和（再）保险业中，地震往往会相互作用。因此，在巨灾模型中经常使用的与时间无关的方法不能完全捕捉实际的地震发生和相关的风险。最近的事件表明，地震往往在空间和时间上聚集，例如2011年坎特伯雷地震序列，而余震序列可以增加当地数十年的地震活动性，例如2011年东北地震之后。WRN和Willis Re已经与Temblor.inc开展了一个研究项目，以更好地量化大地震后的风险。这使我们能够将我们的模型从捕捉地震频率和灾害的历史长期平均视图转变为前瞻性模型，这些模型可以更好地捕捉新的应力，从而更好地捕捉重大事件后的预期速率条件。这是通过修改模型中假设的地震率来实现的（默认情况下建模为独立事件），直接影响PML估计，影响与购买的纵向容量和再保险计划结构相关的再保险决策。实际上，由于重大事件发生后，将产生一个广泛的余震序列，事件相互依赖（即在空间和时间上聚集）。预计这些事件发生的区域在很大程度上与Temblor工作对任何给定事件估计的应力增加区域相关。这些余震中有许多将是小规模的，尽管其中一些也将具有破坏性，正如我们在最近的一些大地震中所看到的那样（例如2011年东北，2011年基督城EQ序列，2018年龙目岛（印度尼西亚）事件）。 因此，这个博士项目将着眼于在一个灾难建模框架内纳入完整的余震序列及其相关事件的随机事件集内的生成。不仅捕获与地震相关的速率变化，而且实际上捕获完整的集群事件集也将使我们更进一步地对模型进行前瞻性观察，不仅对垂直容量和PML估计有直接影响，而且对AEP曲线，总覆盖率和小时条款也有直接影响。