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1、Measuring and Managing Catastrophic Risk in China,September 26,2008,David Lightfoot Guy Carpenter-Seattle,量化与管理中国巨灾风险,2008年9月26日,David Lightfoot 佳达再保险经纪 西雅图分部,Discussion Topics,Global Evolution of Cat Models2008 Cat EventsRising Expectations in Cat Risk Measurement and ManagementRegulatory viewRatin
2、g agency viewManaging Catastrophe riskEvent monitoringi-aXs,讨论议题,巨灾模型的全球演进2008年巨灾事件对巨灾风险评估和管理的新期望从监管的角度从评级机构的角度巨灾风险管理事件监测i-aXs,Evolution of Catastrophe Models,Significant Natural Catastrophes(and insured losses),1989 Hugo US$4.5b1991 Mirellie US$5.2b1990 Vivian US3b1992 Andrew US$18b1994 Northridge
3、US$12b1995 Kobe US$3b2001 WTC US20b2004 Charley,Frances,Ivan Jeanne US28b2005 Katrina US$50b,Cat Model Evolution,Cat models largely ignored(cat loading based on experience rating)The rise of the CAT ModelIncreased worldwide coverageCatastrophe casualty modelling emergesModels feel the strain losses
4、exceed modelled results,巨灾模型的演进,重大自然巨灾事件(以及保险损失),1989 飓风Hugo 45亿美元1991 飓风Mirellie 52亿美元1990 飓风Vivian 30亿美元 1992 飓风Andrew 180亿美元1994 Northridge地震 120亿美元1995 Kobe地震 30亿美元2001 911事件 200亿美元2004 飓风Charley,Frances,Ivan Jeanne 280亿美元2005 飓风Katrina 500亿美元,巨灾模型演进,巨灾模型很大程度上被忽视(巨灾附加费率建立在经验值上）巨灾模型的出现和发展世界范围的覆盖面
5、不断扩大巨灾伤亡模型出现模型面临压力-实际损失超过模型结果,Value of Cat Models,1st Layer,2nd Layer,3rd Layer,Non-workingLayer,WorkingLayer,Experience Rating,Exposure Rating/Cat Modeling,Loss,巨灾模型的价值,第一层,第二层,第三层,非工作层（有理赔的概率较低）,工作层（有理赔的概率较高）,根据经验值定价,根据风险/模型定价,理赔额,The Simple Method to Exposure RatingEarthquake Example,The largest
6、magnitude earthquake you might expect near Beijing is 8.0The probability of this event could be about 1 in 500 years(based on historical data)1 such event in the last 500 years(1679)A PML estimate for this could range from 5%to 15%of Beijing total sums insured Probability of a 6.0 to 7.9 magnitude e
7、arthquake near Beijing is about 2.00%About 10 events in the last 500 years.the damage in these events could range from 1%to 10%A significant level of uncertainty is associated with these methods,风险定价的简单方法以地震为例,在北京附近发生的可以预见的最大震级地震是8.0级可能的最大损失将达到大约北京地区总保额的15%根据历史数据，该事件发生的可能性大约是500年一遇这样的事件在过去500年中只发生过1
8、次（1679年）在北京周围发生6.0 至7.9级地震的可能性大约是2.00%（50年1遇）在过去500年中发生过大约10次.这些事件可能造成的损失介于北京地区总保额的1%至10%如果具备北京地区的风险累计数字，就可以得到这些事件的大约损失估计这些方法存在很大的不确定性,China Catastrophe ModelsAvailable Models,“Detailed”and“Aggregate”models licensed from key global vendors:AIR Worldwide Corporation(AIR)CLASIC/2(Detailed)&CATRADER ve
9、rsions 10.0(Aggregate)Perils:Earthquake&TyphoonRisk:PropertyEQECAT(EQE)WORLDCATenterprise version 3.10(Aggregate)Perils:Earthquake&TyphoonRisk:PropertyRisk Management Solutions(RMS)RiskLink version 8.0(Detailed)Perils:EarthquakeRisk:Property&Casualty*Images supplied by Guy Carpenters,中国巨灾模型可用的模型,经世界
10、主要模型公司授权的“具体”和“累计”模型 AIR Worldwide Corporation(AIR)CLASIC/2(具体)&CATRADER versions 10.0(累计)模拟灾害:地震&台风风险类别:财产EQECAT(EQE)WORLDCATenterprise version 3.10(累计)模拟灾害:地震&台风风险类别:财产Risk Management Solutions(RMS)RiskLink version 8.0(具体)模拟灾害:地震风险类别:财产，伤亡*Images supplied by Guy Carpenters,Rising Expectations in C
11、atastrophic Risk ManagementRegulatory View,CIRCCircular No.402(April 2007),in response to increased catastrophic risk,companies are encouraged to(among other things):Appropriately purchase catastrophic reinsurance to leverage international reinsurance sourcesLeverage tools developed by third parties
12、 to gradually improve the state of catastrophic risk modeling in ChinaGlobally move to define appropriate capital levels through risk-based capital measuresEuropean Union through Solvency 2 regulation is setting target capital to be 99.5%VaR(1 in 200 year worst outcome)Scenarios would generally invo
13、lve a cat,对巨灾风险管理的日益提升的期望从监管的角度,中国保监会2007年4月第402号通知用以应对日益频繁的巨灾风险，鼓励保险公司(但不限于):妥善安排巨灾再保险，充分利用再保险资源利用外界开发的工具，来逐步改进中国的巨灾风险模型 从全球来讲，对资本充足性的判定已逐步转向以利用风险资本的测量为依据欧盟通过的Solvency 2 监管规定，将资本标准设定在99.5%的在险价值水平（换言之就是200年一遇的水平）不同的状况通常都考量了巨灾的因素,Rising Expectations in Catastrophic Risk ManagementRating Agency View,C
14、atastrophic risk a key element in capital solvency calculationA.M.Best uses greater of 1/100 year wind or 1/250 year earthquake net cat loss amount as a benchmarkS&P uses 1 in 250 year aggregate net loss amount as a benchmarkA.M.Best view of a strong cat risk management programEmphasis on data quali
15、ty Monitoring exposure throughUsing one or more catastrophe modeling toolsReviewing aggregate loss exposure accumulationConsidering potential loss exposure scenarios in addition to modeled outputManaging to realistic loss scenarios,not the lowest case loss estimatesImplementing controls,including:Es
16、tablishing specific aggregate limits using a reasonable and defensible basisPurchasing an appropriate reinsurance program Integration of catastrophe management into the underwriting process,对巨灾风险管理的日益提升的期望值从监管的角度,巨灾风险是测算资本及偿付能力的关键要素A.M.Best 利用100年一遇风灾或者250年一遇地震可能产生的净自留损失，两者取高者为准，来作为衡量的标准S&P 利用250年1遇
17、累计净自留损失金额来作为衡量的标准A.M.Best 判断一个好的巨灾风险管理项目时强调数据质量监测风险的方法包括：使用一个或一个以上的巨灾模型工具监测风险累积情况在模型结果的基础上，考虑其他可能的损失情境考察真实可能的损失状况,而不是最低的损失评估监控,包括:利用合理和站得住脚的方法建立详细的累积限额购买适当的再保险保障将巨灾管理整合于核保流程当中,Data QualityRequirements for Earthquake,Location dataAIRs analysis is run at district level(approximately 2,900 districts)Th
18、e RMS model can be run at any level(down to postal code)(approximately 33,000),数据质量以地震模型数据要求为例,地址信息：AIR的分析可以达到区一级的水平(全国大约 2,900 个区)RMS则可以达到6位邮政编码水平(全国大约33,000个邮政编码),Data QualityRequirements for Earthquake,Continued,ConstructionAIR has 46 construction typesRMS has 40 unique construction typesOccupanc
19、yAIR has 5 unique occupancy types given a known construction type RMS has 5 unique occupancy types given a known construction typeYear built(reflects changing building codes)Building height/number of stories,数据质量以地震模型数据要求为例（续）,建筑类型AIR 有46种建筑类型RMS 有40种建筑类型行业类别AIR 针对每一个建筑类型都有5个单独的行业类别RMS针对每一个建筑类型都有5个单
20、独的行业类别建筑年份反映不同时期的建筑标准建筑高度/楼层数量,Data QualityLoss Estimates by Construction Class and Building Age Comparisons,1M RMB Buildings Exposure in Beijing,“Unknown”Occupancy Earthquake Model,Average Annual Loss,30%difference because of year built,数据质量比较不同的建筑结构和年限下的预估理赔额,在北京一百万的大厦保额,“未知”行业地震模型,年平均损失,因为年限不同，预估
21、年平均损失相差30%,Understanding Uncertainty,Damage range 1%-90%,理解不确定性,Damage range 1%-90%,Ratio of gross AAL to premium or TIV Explore profitability issues by product,province,city,etc.,down to the location level,Monitoring Exposure and Implementing ControlsIntegration of Cat Modeling into Underwriting Pr
22、ocessCat Loss Ratios Example,年平均损失与保费或者总保额之间的比率关系按险种，省份，市直到具体地点来考察盈利,监控风险将巨灾模型整合到核保流程（以巨灾损失率为例）,26,Managing to Realistic ScenariosMetaRisk(Guy Carpenter DFA tool)Timeline Simulation,27,管理现实情境MetaRisk(Guy Carpenter 动态财务分析工具)时间轴模拟,Implementing ControlsReinsurance Example,Risk Management Cost,Risk Mana
23、gement Benefit,Break Even,风险控制以再保险为例,风险管理成本,风险管理收益,持平点,Event Monitoring,事件监测,Video Demonstration,视频演示,Instrat Center of Analytical Excellence,HistoryFirst reinsurance broker analytical unit founded 20 years agoCurrentlyOver 200 actuaries,cat modelers,financial analysts,scientists,software developmen
24、t20 unified global locationsGrowing resource throughout Asia PacificIntellectual and technical resource for Guy Carpenter,Instrat，分析优势中心所在,历史成立于20年前，第一个再保经纪人独立拥有的量化分析团队现在拥有超过200名精算师，巨灾模型师，财务分析师，科学家以及软件开发人员分布于全球20个办公室在亚太区的团队逐步壮大是Guy Carpenter重要的智慧和技术资源,Disclaimer for Presentation,The data and analysi
25、s provided by Guy Carpenter herein or in connection herewith are provided for the participants(the Participants)of the 9th Chinese Actuarial Annual Conference“as is,”without warranty of any kind whether express or implied.The analysis is based upon data provided by or obtained from external sources,
26、the accuracy of which has not been independently verified by Guy Carpenter.Neither Guy Carpenter,its affiliates nor their officers,directors,agents,modelers,or subcontractors(collectively,“Providers”)guarantee or warrant the correctness,completeness,currentness,merchantability,or fitness for a parti
27、cular purpose of such data and analysis.The data and analysis are intended to be used solely for the purpose of the Conference and Participants shall not disclose the work product to any third party,except its reinsurers,auditors,rating agencies and regulators,without Guy Carpenters prior written co
28、nsent.In the event that Participants discloses the data and analysis or any portion thereof to any permissible third party,the Particpants shall adopt the data and analysis as its own.In no event will any Provider be liable for loss of profits or any other indirect,special,incidental and/or conseque
29、ntial damage of any kind howsoever incurred or designated,arising from any use of the data and analysis provided herein or in connection herewith.Statements or analysis concerning or incorporating tax,accounting or legal matters should be understood to be general observations or applications based s
30、olely on our experience as reinsurance brokers and risk consultants and may not be relied upon as tax,accounting or legal advice,which we are not authorized to provide.All such matters should be reviewed with the Particpants own qualified advisors in these areas.,MajpjMVcyzj21HLfrvy96dv02lPPfYgxUS7I
31、YmZkyEmZ0kGeYZS3bpLCkYH1lt4EK7CxmUX3ijoYSOer7ZuaVWYgz4EpZrUirVpMzzvNtf1XZw5oswSXOtFaejnOcmfE1lZgnN1RSXg8wLCG8CVQ3XPJMvodPFWcpiYJgZazNSEPNIaklYSu7qSd1UpaxmZDlpN9zW7kljfsLCLi26Yv109ffbnDH8LbUN1G6ACURQ39eG12KHL9tXsZ1jzgoCK8g1kuNOh5eFvcmVT5ZYVQt9zk3rp3qLnf02FovEXxVRxjCcFRNppiJljNiOuk6fONnyX7fyGg7sXZ49Bm
32、CN5oy9VesHpKzdjTKwjrkCEQCFDehVmGax3lrOEbw63VscA3YSijtUKoCyiLzAlVRp7l4QgPNHxvJFFDyjUVN3oHlMah0XBd4uTbkfPIhHtw0evPmYOrdhEDoPwvYhzlGplU1AU9mpyiCXH8gpPCBRYjq77VcnbXumNE1yGfyTsbSj89J63kRTKDkKUg3mdS5sJ4X5cQ8dK7oW9IkScssECQdz2O9UTlpRjAFPChjhLdzopQzwxQf8ozdzOhogwAooXpUF83BX4C3jRgjDJiiXEUDMaNz4vQ4n164vspddHv
33、OIVuBBdMA4xp1YhiHk0vOJ8TL1BxogzVlMpmod6ianYGmksQq6NWCEd56hZF4wfaNyZcrGfNxnPiG6ZAxSkfmhJAKtNmCqbRmppeXp8inz4eq3HkWCMSORyMMX522xpHG6basNr6KQfbZsFbHjzyNlJrruLolKFcC84dqfijBO5Dy2NaBcNEBPgQrT12PgpcKx2or2YChN5DPjs80zzdtdAdTKuW4uVv9bbZu3K2SZ2aEhTlIC1UqrIWibkzwHh6p8gLv26zr01mJybfOzFc4T7kQH1IpPwOzMDnAKPLsLrznXGjFNIA9bSWWms6ibKZwQIKrMzalwbFrQJvOP1rPH8rx2KkyYqrtQk5VRwM1HSX,
