Risk Modeling for Hazards and Disasters

Gero Michel is the Managing Director of Chaucer Underwriting A/S in Copenhagen, where he is responsible for Chaucer’s European portfolio and capital market initiative. In addition Dr. Michel serves as an adjunct professor at Western University, London Ontario, Canada where he lectures on Insurance and Reinsurance as well as creation of catastrophe models. Gero Michel is co-founder of the Chaucer Risk and Research Center that links innovation and science to underwriting. Before this Gero was Senior Vice President, CRO and Head of Risk Analytics at Montpelier Re. Prior to joining the Montpelier Group, Dr. Michel was Managing Director of one of the largest joint venture between science and the financial industry, the Willis Research network, along with heading up model development at Willis in London. Prior to this, Dr. Michel lead international catastrophe underwriting at Endurance Specialty Holdings Ltd., in Bermuda; managed the windstorm and flood model development at Risk Management Solutions, Inc. and was a senior actuarial analyst at Hannover Re. Dr. Michel has a PhD and masters in geo-science, and has a senior level education from Harvard Business School. He has been an invited lecturer at numerous insurance and science events and has published various risk and insurance articles. He has over 30 years of experience in risk management and risk modeling.

SECTION I: Catastrophe Models, General Concepts and Methods 1. Quantifying Model Uncertainty and Risk Nilesh Shome, Mohsen Rahnama, Steve Jewson, and Paul Wilson 2. What Makes a Catastrophe Model Robust Jay Guin 3. Towards a more Dynamical Paradigm for Natural Catastrophe Risk Modelling David Stephenson, Alasdair Hunter, Ben Youngman, and Ian Cook 4. Empirical fragility and vulnerability assessment: not just a regression Tiziana Rossett and Ioanna Ioannou

SECTION II: Model Creation, Specific Perils and Data 5. The use of historic loss data for insurance and total loss modelling James Daniell, Friedemann Wenzel, and Andreas Schaefer 6. Indirect Loss Potential Index for Natural disasters for National and sub-national analysis James Daniell, Bijan Khazai, Friedemann Wenzel 7. Probability gain from seismicity-based earthquake models Kristy Tiampo, Robert Shcherbakov, and Paul Kovacs 8. Big data challenges and hazards modelling Kristy Tiampo, Seth McGinnis, Yelena Kropivnitskaya, Jinhui Qin, and Michael Bauer 9. Progress towards hyper-resolution models of global flood hazard Paul Bates, Jeff Neal, Chris Sampson, Andy Smith, and Mark Trigg

SECTION III: Model Insurance Use-Cases 10. Insurance Pricing and Portfolio Management using Catastrophe Models Helena Bickley and Gero Michel 11. Portfolio Optimization Using Catastrophe Model Results, a Use Case from the Insurance Industry Augustin Yiptong and Gero Michel

SECTION IV:  Model Risk, Resilience and New Concepts 12. Parsimonious risk assessment and the role of transparent diverse models Patrick McSharry  13. Creating a Probabilistic Catastrophe Model with the Characteristic Event Methodology Karen Clark  14. From Risk Management to Quantitative Disaster Resilience: A New Paradigm for Catastrophe Modelling Slobodan Simonovic 15. Beyond ‘model risk’: a practice perspective on modelling in insurance Andreas Tsanakas  and Laure Cabantous