PERILS AG, the Zurich based provider of catastrophe insurance data and industry loss indices, has released a new product, a catalogue containing the gust footprints for over 200 of the largest European windstorms from 1979 to 2015.
Robust sources of historical data are vital to insurance, reinsurance and insurance-linked securities (ILS) interests, providing a way to analyse how a previous storm or season would impact a current portfolio and allowing prior year loss experience to be verified and validated.
The catalogue has been developed in cooperation with the UK Met Office, using gust footprints that were calculated using both numerical weather modelling and actual gust measurements, which were then scaled to representative gusts per CRESTA zone for each European storm event.
Luzi Hitz, CEO of PERILS, commented on the launch; “We are very pleased to be able to provide this new European windstorm catalogue. We believe that it provides an ideal complement to our exposure and loss data, and will prove very useful in the ongoing validation of probabilistic Cat models – particularly in the high- to mid-frequency area, which is critical for re/insurance pricing. We are very grateful to the UK Met Office which worked closely with us throughout this process and enabled us to produce such a comprehensive catalogue.”
The PERILS-UKMO Windstorm Catalogue will offer a historic view of European extratropical cyclone activity from 1979 to 2015 for 26 European countries. Containing 37 years of storm history and 214 individual storm events, ranging from smaller unnamed storms to the largest windstorm events in the period, including Lothar, Daria or 87J.
The gust data and storm footprint maps are provided in Excel format, with information provided at the same geographic resolution as PERILS industry exposure and loss data, allowing for analysis of the correlation between wind gust speed and observed losses and damage ratios.
That’s useful for insurance and reinsurance firms looking to validate how their portfolios will perform under historical storm conditions, as well as for back-testing exposure data and for the historical stress test modelling of a transaction such as a catastrophe bond.
Insurance and reinsurance interests can use this data to calculate loss scenarios for prior year storm events based on their current exposure data, as well as extrapolate loss-frequency relationships across a given portfolio and territory. The output can then be compared to that of probabilistic catastrophe risk models.
Eduard Held, Head of Products at PERILS, explained; “The PERILS-UKMO Windstorm Catalogue will enable users to find answers to a broad spectrum of questions. By applying standard actuarial analytics, for example, the catalogue will enable them to establish the loss level for a given portfolio to be exceeded once every 20 years. Among other uses, such information is essential for the pricing of industry-loss- based transactions such as ILWs and Cat bonds, and is at the very core of our ability to better understand European windstorm risk.”
The history data on gusts can be used to create European windstorm hazard maps, offering return period information at various gust-speed levels across Europe. It can also be used alongside PERILS industry exposure and loss data, to derive damageability functions by territory and by Property Line of Business, providing clarity on the links between wind speed and losses suffered. The catalogue can also be used to model the historic windstorm activity based on today’s exposure levels, which can help in validation of the high- to mid-frequency output of probabilistic windstorm risk models, PERILS explained.
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