Canadian Underwriter

Solvency II windstorm loss estimates in line with those of vendor models: Guy Carpenter

December 2, 2010   by Canadian Underwriter

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Windstorm scenarios outlined in the most recent Solvency II quantitative impact study (QIS5) are roughly in line with loss estimates produced by the major vendor models, Guy Carpenter reports.
In Solvency II Update: QIS5 Windstorm Scenarios are Within Range of Industry Models, experts at Guy Carpenter compare loss estimates under the QIS5 loss scenarios to those of the “premier” vendor models (AIR, EQECAT AND RMS).
For the QIS5 scenario, a task force consisting of major industry players and regulatory authorities was charged with developing standardized scenarios for all major perils, the report says.
The scenarios developed include windstorm, flood, earthquake and hail. The task force proposed parameters aimed to correspond each catastrophe scenario to a 1-in-200 year loss. The factors are applied to and correlated between Catastrophe Risk Evaluating and Standardizing Target Accumulations (CRESTA) zone data for each country and each peril, to arrive at the final catastrophe solvency capital requirement, the report says.
Zurich-based PERILS AG recently published its QIS5 windstorm scenario property loss estimates based on its 2010 Industry Exposure Data. The gross occurrence loss estimate for the nine major European markets was EUR37 billion, Guy Carpenter reported.
Researchers at Guy Carpenter compared these loss figures to the 1-in-200 year loss figures in the vendor models.
“The loss projections computed with PERILS data under the QIS5 scenarios fall within the range of the three vendor models, with a tendency toward conservatism,” the report says.
“The QIS5 results are higher than some vendor model figures and lower than others; they appear to have been computed in most cases more prudently in the three largest European markets: France, Germany and the United Kingdom.”

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