Primary and secondary uncertainty
Event occurrence uncertainty is separated from damage uncertainty given an event, and both are carried through to layer losses.
GRA · Reinsurance and Catastrophe
Spatial financeWhere capital meets hazard, exposure and transition
Uncertainty quantification and model validation for reinsurance and catastrophe
Uncertainty quantification separates and propagates the uncertainty in catastrophe models: in hazard, vulnerability, exposure and financial terms. In reinsurance it shows decision makers how far a modelled loss could move and which assumption moves it most.
01Qeyd
Uncertainty quantification and model validation for reinsurance and catastrophe on the record.
Method recordSTEM method
- RêbazPîvandina nediyariyê û rastandina modelê
- ParêzvanZanista pergalan û modelkirin
- Applied inSîgortaya duyemîn û katastrof
- Dane3 inputs
- Checks3 validation steps
- Canonical pageSTEM Commons
02Serlêdan
What uncertainty quantification and model validation does here.
Uncertainty quantification and model validation characterise how uncertainty in inputs, parameters and model structure affects predictions. They establish how much confidence a model’s outputs deserve. In insurance and catastrophe, climate and hazards and disaster and crisis, uncertainty quantification shows where risk estimates are robust and where they are fragile. It guides where better data or models would change decisions. The canonical description is on the STEM Commons.
Sensitivity ranking
Inputs are varied one at a time and jointly to rank which assumptions drive the most change in key metrics.
Multi-model ensembles
Results from several models are presented together with their spread, rather than a single number.
03Spatial finance
Exposure, hazard and the exceedance curve.
Which places drive loss in a severe year, and how far it reaches into reinsurance. Illustrative design values.
04Dane
What the method consumes.
Datasets and records used by uncertainty quantification and model validation on this platform, with the role each plays and the label its values carry. Sources are listed in the source register.
| Dane | Rol | Nîşan |
|---|---|---|
| Model parameter ranges | Input uncertainty | TEXMÎNKIRÎ |
| Alternative model outputs | Structural uncertainty | MODELKIRÎ |
| Exposure audit results | Data uncertainty | ÇAVDÊRÎKIRÎ |
05Loss model
Loss exceedance, average annual loss and probable maximum loss.
The loss a portfolio in the footprint can expect per year and at the 1 in 100 and 1 in 250 levels that insurers and lenders price, from the same three blocks every catastrophe model uses. Teaching model with stated illustrative values, not a prediction. The map on this page shows The Gulf of Mexico coast; the model itself is not tied to a place.
Kontrol
- Typical annual hazard intensity (location)
- 1.00 intensity index
- Belavbûna nirxên tund (pîvan)
- 0.80 intensity index
- Tundiya ku nîvê nirxê tê de winda dibe
- 4.00 intensity index
- Belavbûna lawazî
- 0.55
- Para nirxê di nav şopa metirsî de
- 40%
- Standarda parastinê (heyama vegerê)
- 50 sal
Xwendin
- Windahiya salane ya navînî
- 0.51% of value
- Windahî di 1 ji 100 salan de
- 24.5% of value
- Windahî di 1 ji 250 salan de
- 28.4% of value
- Tundî di 1 ji 100 salan de
- 4.68 intensity index
Jimar, rêbaz û çavkanî
| Heyama vegerê (sal) | Intensity (intensity index) | Windahî (% ya nirxê) |
|---|---|---|
| 1 | 0.09 | 0.00 |
| 2 | 1.27 | 0.00 |
| 4 | 1.91 | 0.00 |
| 7 | 2.47 | 0.00 |
| 13 | 3.00 | 0.00 |
| 24 | 3.51 | 0.00 |
| 44 | 4.02 | 0.00 |
| 82 | 4.53 | 23.55 |
| 154 | 5.03 | 26.44 |
| 287 | 5.53 | 28.87 |
| 536 | 6.03 | 30.88 |
| 1,000 | 6.53 | 32.53 |
Rêbaz
- Metirsî: nirxên dawîn ên Gumbel Gumbel (1958), Statistics of Extremes, Columbia University Press
- Nazikiya lognormal (lawazî) FEMA (2003), HAZUS-MH Technical Manual
- Qada îhtîmala derbasbûnê û windahiya salane ya navînî Grossi and Kunreuther (2005), Catastrophe Modeling, Springer
- Bandora bendavê Di Baldassarre and others (2013), Socio-hydrology, HESS 17
- Pankeya nediyarîyê (Monte Carlo ya parametreyan) Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
- Hesasiyeta yek-yek (tornado) Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley
Dane
The model runs on the teaching values set by the controls. To calibrate it for a place, read it against these admitted layers and series, which this page’s map can draw:
- Çem Natural Earth
- Dirêjahiyên bajarî Natural Earth
- Bajar Natural Earth
- Erdhejên M4.5+, hefteya borî (USGS) U.S. Geological Survey · register usgs.earthquake.summary-feeds
- Rêjeya baranê, nîv saeta dawîn (IMERG) NASA GPM IMERG Early · register nasa.gibs.context-live-layers
- Pêşbînî: herikîna çemê, 30 roj bi navber (GloFAS bi riya Open-Meteo) Open-Meteo.com (CC BY 4.0), Copernicus GloFAS · register open-meteo.public-pages
- Berfirehiya avakirî û niştecihbûnê, 2010 (HBASE, Landsat) CIESIN/Columbia, NASA SEDAC HBASE · register sedac.context-urban-layers
Li seranserê şeş stûnan, bi pêşengiya Nexus Consortium
- Ceribandin Labs
- Hatiye avakirin di Reinsurance and Catastrophe in Foundry
- Tê ceribandin li Reinsurance and Catastrophe in Universe
- Hatiye kodkirin di Darayî, sîgorta û aborî di Standards de
- Hatiye weşandin di Reinsurance and Catastrophe in Reports
- Tê de tê dayîn Fakulteya Darayî û Aborî di Academy de
06Erêkirin
How results are checked.
Predictive distributions are tested for calibration and sharpness against held-out observations. Verification confirms that code solves the intended equations.
| Kontrol bikin | How it is done |
|---|---|
| Coverage of intervals | Stated uncertainty ranges are tested against outcomes where possible |
| Correlation assumptions | Dependencies between uncertain inputs are documented |
| Communication | Uncertainty is shown with the result, not in an appendix |
Structural uncertainty and unknown unknowns are difficult to represent. Computational cost limits exploration of high-dimensional models.
07Simulatorê cêwî û kaskade
Trace a shock to the balance sheet.
Assembled from the Nexus Standards area profile Sîgorta û ji nû ve sîgorta: the shocks it names, the pergalan and sectors that carry the loss, the controls that dampen it and the data that observe it. Pick an initiating shock and step through the cascade to see which exposures it reaches and where losses could concentrate. The Map view places the run on an example geography with open data. Every weight is a stated assumption. An exercise, not a forecast, a valuation, a rating or investment advice. To model a place of your own choosing, open the full System Builder.
Metirsî
- Tropical cyclone
- Erdhej
- Ice-jam flood
- Agirê daristanan
- Storm surge (set off downstream)
- Intense rainfall (set off downstream)
- River flood (set off downstream)
- Flash flood (set off downstream)
- Dangerous surf (set off downstream)
- Qutbûna berfireh a elektrîkê (li aliyê jêr çê dibe)
- Koçberiya girseyî (li aliyê jêr çê dibe)
- Coastal flood (set off downstream)
- Aftershock sequence (set off downstream)
- Fault surface rupture (set off downstream)
- Soil liquefaction (set off downstream)
- Slope slide (set off downstream)
- Rockfall (set off downstream)
- Tsunami (set off downstream)
Pergal û girêdan
- Sîgorta û ji nû ve sîgorta
- Bankevanî Girêdan
- Saziyên darayiya pêşketinê Girêdan
- Mirovî û civaka sivîl Girêdan
- Çandinî û bikaranîna erdê Girêdan
Kontrol
NS-0Destûr û prensîbNS-3UNIyên tomara xetereyê (rêzimanî, nexşeya veguhastina ji pergala kevin, desthilata veqetandinê)NS-9UNI yên çarçoveyî (belavkirin, mînak, mînakên bernameyê)NS-10Policies and clauses (machine-readable obligations: definition, binding, evaluation and enforcement)NS-11Piştrastkirin û çavdêrî (delîl, erêkirin, çavdêriya lihevhatina zero-trust)NS-14Lihevhatin û nexşeya li standardên derveyîNRS-F3Sîgorta, xetera felaketan û valahiyên parastinêNRS-H113Malbata metirsiyê: Nazikiya pergala darayî (NHS-1 soc.financial-system)NRS-U17Universe platform profile: Insurance NexusNRS-H71Malbata metirsiyê: Felaketên kozmîk û yên dema kûr (NHS-1 planet.deep-time)NRS-H65Malbata metirsiyê: Binpêkirinên sînorên gerstêrkê (NHS-1 planet.boundary)NRS-F8Veguhastina xeterê ya parametrîk û li ser bingeha îndeksê
Çavdêrî
- OECD Data Explorer (incl. Creditor Reporting System, insurance and pension statistics) (listed for reference)
- Insurance statistics (listed for reference)
- USGS earthquake GeoJSON summary feeds (listed for reference)
- Direct economic loss attributed to disasters in relation to global gross domestic product (GDP)
- Direct economic loss attributed to disasters in relation to global gross domestic product
- (a) Number of commercial bank branches per 100,000 adults and (b) number of automated teller machines (ATMs) per 100,000 adults
Erdnîgariya mînakê
- Western Europe: 152 hexagonal cells
- Rêjeya barînê, nîv saeta dawî (IMERG), NASA GIBS
- Ronahiyên şevê îşev, qutbûn (VIIRS Day/Night Band), NASA GIBS
- Ava rûyê erdê di nav ewr re, 30 m (radara OPERA DSWx-S1), NASA GIBS
- Carbon monoxide, smoke transport (AIRS), NASA GIBS
08Connections
Topics that rely on this method.
09Exposure, loss and capital
What it means for exposure, loss and capital.
The exposure, loss, scenario and capital views a risk officer, supervisor or ministry of finance would ask for, with the frameworks they report against. Structures follow supervisory and actuarial practice. Values are illustrative: never prices, ratings or advice.
Exposure and loss at return periods
How losses from uncertainty quantification and model validation for reinsurance and catastrophe grow with severity, gross and net of reinsurance, against capital.
| Return period | Annual probability | Gross loss | Net loss | Net, capital = 100 |
|---|---|---|---|---|
| 1 in 10 | 0.10 | 14 | 10 | 10 |
| 1 in 50 | 0.02 | 33 | 21 | 21 |
| 1 in 100 | 0.01 | 46 | 27 | 27 |
| 1 in 250 | 0.004 | 68 | 39 | 39 |
| Windahiya salane ya navînî | 3.1 | 2.2 | 2.2 |
NGFS climate scenarios · Network for Greening the Financial SystemIFRS S2 Climate-related Disclosures · ISSBTCFD recommendations · Financial Stability Board TCFDPrinciples for the effective management of climate-related financial risks · Basel Committee on Banking Supervision
10Stewardship
Who maintains the method.
Zanista pergalan û modelkirin stewards uncertainty quantification and model validation for the Consortium and reviews how it is applied across platforms.
11Girêdayî
Ev rûpel li ser Konsorsiyûmê te ber bi kû ve dibe.
12Pirs
Pirs û bersiv.
What are the limits of uncertainty quantification and model validation in this field?
Structural uncertainty and unknown unknowns are difficult to represent. Computational cost limits exploration of high-dimensional models.
How are results checked?
Predictive distributions are tested for calibration and sharpness against held-out observations. Verification confirms that code solves the intended equations.
Are the values on this page real?
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
Where else is this method applied?
Çavdêrxaneya canonical method page lists every platform that applies it.
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Ji vê rûpelê delîl bidin.
rêzeya Pergalên Stratejîk is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
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Bring an exposure or capital question to the Alliance.
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Hiqûqî
Belgeyên hiqûqî.
Nexşe, dane û jimarên vê malperê ji bo çarçoveyê û agahiyên giştî têne nîşandan. Ew ne şîret, ne pêşbînî û ne hişyarî ne; sînorên agahiyê di Daxuyaniyên Berpirsiyariyê û Daxuyaniyên Daneyê de hatine diyarkirin.