Welcome!

Eclipse Authors: Pat Romanski, Elizabeth White, Liz McMillan, David H Deans, JP Morgenthal

Blog Feed Post

Catastrophe Modeling for the Insurance Industry

by Joseph Rickert At a Bay Area R User Group (BARUG) meeting this month hosted by Cisco, Dag Lohmann (the co-founder of Katrisk) gave an electrifying talk on catastrophe modeling for the insurance industry. Catastrophes: cyclones, hurricanes, floods earthquakes, terrorist attacks are rare events (from a statistical point of view) that cause losses and human suffering over large geographic areas. Insurance companies build models of these events both for underwriting, where they need estimates of local risk at various locations, and portfolio management, where it is imperative for them to estimate the correlation of risk at the different locations and also have a means for aggregating risk. Two aspects of catastrophe models that Dag’s talk really drove home are: the astounding amount of data consumed and the scope and sophistication of the modeling techniques employed. A typical professionally-done catastrophe model might attempt to use 150 years worth of meteorological data (~ 30 terabytes) over 100M locations while simulating 100,000 or so atmospheric and hydraulic scenarios. As Dag pointed out: (100K scenarios) x (100M locations) x (1/50 probability of occurrence) yields 200 billion records to feed the financial models. To get an idea of the level of modeling sophistication involved, consider that a typical model might employ: detailed fluid dynamics simulations to calculate hazards; vectorized time series models to compute correlations; advanced statistical methods for variable reduction; validation and much more. No less impressive, but not surprising, is the fact that Dag can do all of this with an open source stack built around R and supplemented with Leaflet and Mapserver. As Dag pointed out: "R is deeply embedded in the Insurance Industry".  For a serious introduction to catastrophe models have a look at Dag's slides, and then work through the R code of an elaborate sample model that is available on the KatRisk website. The following plot comes from the first part of the model. It shows a grid superimposed on a map of England colored by the hazard for an imaginary catastrophic event. For a real event, this type of plot would be the output of an extensive data analysis and modeling effort. To produce the example plot, however, an elliptical copula was defined using R's copula package to create a multivariate distribution with fixed correlation among the marginal distributions. Then, the hazard grid was filled out by sampling from the distribution. This only the beginning. After simulating the hazard events, the code goes on to simulate exposure and vulnerability, build an event loss table, work through a financial model, construct AEP (Aggregate Loss Exceeding Probability) and OEP (Occurrence Loss Exceeding Probability) curves for both expected losses and sampled losses, estimate secondary uncertainity and compute quite a few performance measures. Never having worked in this field myself, I found the LLoyd's publication "Catastrophe Modelling; Guidance for Non-Catastrophe Modellers" helpful. 

Read the original blog entry...

More Stories By David Smith

David Smith is Vice President of Marketing and Community at Revolution Analytics. He has a long history with the R and statistics communities. After graduating with a degree in Statistics from the University of Adelaide, South Australia, he spent four years researching statistical methodology at Lancaster University in the United Kingdom, where he also developed a number of packages for the S-PLUS statistical modeling environment. He continued his association with S-PLUS at Insightful (now TIBCO Spotfire) overseeing the product management of S-PLUS and other statistical and data mining products.<

David smith is the co-author (with Bill Venables) of the popular tutorial manual, An Introduction to R, and one of the originating developers of the ESS: Emacs Speaks Statistics project. Today, he leads marketing for REvolution R, supports R communities worldwide, and is responsible for the Revolutions blog. Prior to joining Revolution Analytics, he served as vice president of product management at Zynchros, Inc. Follow him on twitter at @RevoDavid

IoT & Smart Cities Stories
When talking IoT we often focus on the devices, the sensors, the hardware itself. The new smart appliances, the new smart or self-driving cars (which are amalgamations of many ‘things'). When we are looking at the world of IoT, we should take a step back, look at the big picture. What value are these devices providing. IoT is not about the devices, its about the data consumed and generated. The devices are tools, mechanisms, conduits. This paper discusses the considerations when dealing with the...
Charles Araujo is an industry analyst, internationally recognized authority on the Digital Enterprise and author of The Quantum Age of IT: Why Everything You Know About IT is About to Change. As Principal Analyst with Intellyx, he writes, speaks and advises organizations on how to navigate through this time of disruption. He is also the founder of The Institute for Digital Transformation and a sought after keynote speaker. He has been a regular contributor to both InformationWeek and CIO Insight...
IoT is rapidly becoming mainstream as more and more investments are made into the platforms and technology. As this movement continues to expand and gain momentum it creates a massive wall of noise that can be difficult to sift through. Unfortunately, this inevitably makes IoT less approachable for people to get started with and can hamper efforts to integrate this key technology into your own portfolio. There are so many connected products already in place today with many hundreds more on the h...
SYS-CON Events announced today that IoT Global Network has been named “Media Sponsor” of SYS-CON's @ThingsExpo, which will take place on June 6–8, 2017, at the Javits Center in New York City, NY. The IoT Global Network is a platform where you can connect with industry experts and network across the IoT community to build the successful IoT business of the future.
CloudEXPO New York 2018, colocated with DXWorldEXPO New York 2018 will be held November 11-13, 2018, in New York City and will bring together Cloud Computing, FinTech and Blockchain, Digital Transformation, Big Data, Internet of Things, DevOps, AI, Machine Learning and WebRTC to one location.
Andrew Keys is Co-Founder of ConsenSys Enterprise. He comes to ConsenSys Enterprise with capital markets, technology and entrepreneurial experience. Previously, he worked for UBS investment bank in equities analysis. Later, he was responsible for the creation and distribution of life settlement products to hedge funds and investment banks. After, he co-founded a revenue cycle management company where he learned about Bitcoin and eventually Ethereal. Andrew's role at ConsenSys Enterprise is a mul...
DXWorldEXPO | CloudEXPO are the world's most influential, independent events where Cloud Computing was coined and where technology buyers and vendors meet to experience and discuss the big picture of Digital Transformation and all of the strategies, tactics, and tools they need to realize their goals. Sponsors of DXWorldEXPO | CloudEXPO benefit from unmatched branding, profile building and lead generation opportunities.
Disruption, Innovation, Artificial Intelligence and Machine Learning, Leadership and Management hear these words all day every day... lofty goals but how do we make it real? Add to that, that simply put, people don't like change. But what if we could implement and utilize these enterprise tools in a fast and "Non-Disruptive" way, enabling us to glean insights about our business, identify and reduce exposure, risk and liability, and secure business continuity?
The best way to leverage your Cloud Expo presence as a sponsor and exhibitor is to plan your news announcements around our events. The press covering Cloud Expo and @ThingsExpo will have access to these releases and will amplify your news announcements. More than two dozen Cloud companies either set deals at our shows or have announced their mergers and acquisitions at Cloud Expo. Product announcements during our show provide your company with the most reach through our targeted audiences.
DXWorldEXPO LLC announced today that Telecom Reseller has been named "Media Sponsor" of CloudEXPO | DXWorldEXPO 2018 New York, which will take place on November 11-13, 2018 in New York City, NY. Telecom Reseller reports on Unified Communications, UCaaS, BPaaS for enterprise and SMBs. They report extensively on both customer premises based solutions such as IP-PBX as well as cloud based and hosted platforms.