A demonstration tsunami catastrophe risk model for the insurance industry

巨灾风险模型（“Cat模型”）是保险业用来量化与各种保险和再保险产品相关的风险的重要工具。Cat车型的全球市场规模约为4亿英镑。随着新的欧盟保险业监管框架（Solvency II）要求保险公司对其销售保险产品所产生的风险进行定量理解，包括对用于评估这些风险的Cat模型中的不确定性的理解，这种需求正在增长。目前几乎所有的Cat型号都是来自3家公司的商业信赖产品。保险业对Oasis损失建模框架的支持反映了对更多样化的Cat模型和开放模型设计的需求，该框架用于开放和透明的巨灾风险建模。Oasis旨在将外部专家构建的风险模型和漏洞模型模块与用于输入暴露数据和执行财务计算的标准模块相结合，以产生新的、经过良好验证的符合偿付能力ii的Cat模型。此外，最近发生的海啸灾害，尤其是2011年东北地区的海啸，突显了日本和卡斯卡迪亚（美利坚合众国西北部和加拿大太平洋地区）等重要海啸易发地区保险业面临的巨大潜在损失，以及缺乏科学合理的海啸Cat模型。该应用程序建立在(i)我们对海啸波物理模型的现有研究，特别是使用统计模拟方法对其输出的不确定性进行严格量化，以及（ii）现有的概念验证调查，即如何从先进的海啸波物理模型VOLNA中生成与Oasis框架兼容的海啸危害图。为此，我们将为卡斯卡迪亚地区建立一个海啸灾害模型，并为常见建筑类型建立一个简单的海啸脆弱性经验模型。这些将与Oasis的风险敞口和财务计算模块相结合，以一种适合于Oasis在保险行业的合作伙伴公司使用的形式，为Cascadia创建一个示范海啸Cat模型，至少用于测试和验证目的。我们的卡斯卡迪亚海啸灾害模型将是该项目的主要产品。它的目标是：1；利用已发表的地质证据，确定卡斯卡迪亚可能的俯冲带震源范围（破裂的形状、运动学）及其发生情况。2. 利用海啸模型VOLNA的运行量以及VOLNA计算效率的统计表示为Cascadia建立海啸灾害模型，以涵盖可能震源范围产生的可能输出范围。这些VOLNA运行将采用最先进的实验方法设计。3 .构建建筑物的脆弱性曲线，以反映近期大海啸后公布的损害调查证据。将这些危险和脆弱性模块嵌入绿洲损失建模框架的巨灾建模平台。计算合成和给定投资组合的损失超越概率曲线。将1-3中的不确定性传播到步骤4.6中的损失计算中。提供模型和用户文档，使Oasis的保险行业合作伙伴能够采用该模型。

Catastrophe risk models ("Cat models") are important tools used by the insurance industry to quantify risks associated with a wide variety of insurance and reinsurance products. The market for Cat models is approximately £400m globally. It is growing as the new EU regulatory framework for the insurance industry (Solvency II) requires insurance companies to display a quantitative understanding of the risks resulting from their sales of insurance products, including an understanding of the uncertainties in the Cat models that they use to assess these risks. At present almost all Cat models are commercial-in-confidence products from 3 companies. A need for more diverse Cat models and open model design is reflected in insurance industry support for the Oasis Loss Modelling Framework for open and transparent catastrophe risk modelling. Oasis is designed to combine hazard model and vulnerability model modules, built by external experts, with standard modules for inputting exposure data and carrying out financial calculations, to produce new, well-validated and Solvency-II compliant Cat models. Furthermore, recent tsunami disasters, most notably the Tohoku 2011 tsunami, have highlighted both the large potential losses to which the insurance industry is exposed in important tsunami-prone regions such as Japan and Cascadia (NW United States of America and Pacific Canada), and the lack of available scientifically sound tsunami Cat models.This application builds upon (i) our existing research on tsunami wave physics models, especially on the rigorous quantification of uncertainties in their outputs using statistical emulation methods, and (ii) an existing proof-of-concept investigation of how to produce tsunami hazard maps, compatible with the Oasis framework, from the advanced tsunami wave physics model VOLNA. We will do this by producing a working tsunami hazard model for the Cascadia region, and a simple empirical tsunami vulnerability model for common building types. These will be combined with Oasis' exposure and financial calculation modules to produce a demonstration tsunami Cat model for Cascadia in a form suitable to be used, at least for test and validation purposes, by the Oasis partner companies in the insurance industry.Our Cascadia tsunami hazard model will be the primary product of the project. Its objectives are: 1. To define, using published geological evidence, the range of possible subduction zone earthquake sources (shapes, kinematics of the ruptures) in Cascadia, and their occurrences. 2. To build a tsunami hazard model for Cascadia with runs from the tsunami model VOLNA as well as the computationally efficient statistical representation of VOLNA to cover the ranges of possible outputs that result from the range of possible earthquake sources. These VOLNA runs will be designed using state-of-the-art design of experiments methods.3. To construct vulnerability curves for buildings that reflect published evidence derived from damage surveys after recent major tsunamis.4. To embed these hazard and vulnerability modules into the Catastrophe modelling platform from the Oasis Loss Modelling Framework. To calculate loss exceedance probability curves for synthetic and given portfolios.5. To propagate the uncertainties in 1-3 into the loss calculations in step 4.6. To provide model & user documentations to enable uptake of the model by the Insurance Industry partners of Oasis.