A scalable and automatic validation process for Florida public hurricane loss model

Haiman Tian, Hsin Yu Ha, Samira Pouyanfar, Yilin Yan, Sheng Guan, Shu Ching Chen, Mei Ling Shyu, Shahid Hamid

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The Florida Public Hurricane Loss Model (FPHLM) is a public catastrophe model that integrates and regulates all key components, such as meteorology, engineering, and actuarial components, by following a certain workflow in the execution phase. The validation phase governed by an Automatic Data Validation (ADV) program simulates each modeled execution component with a large number of historical insurance data of specific hurricane events. The differences between the actual losses and the modeled losses of the insurance portfolios are evaluated to validate the model. The original validation process is time-consuming and error-prone when handling large data sets. This paper presents how the automated computer program efficiently and correctly incorporates the key components and produces useful reports for the validation purposes. By considering sixty-six combinations (i.e., the combination of one company and one hurricane) of the claim data, the FPHLM model adopts the largest set of portfolios comparing to the other four private models, which makes the validation process more challenging.

Original languageEnglish (US)
Title of host publicationProceedings - 2016 IEEE 17th International Conference on Information Reuse and Integration, IRI 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages324-331
Number of pages8
ISBN (Electronic)9781509032075
DOIs
StatePublished - 2016
Externally publishedYes
Event17th IEEE International Conference on Information Reuse and Integration, IRI 2016 - Pittsburgh, United States
Duration: Jul 28 2016Jul 30 2016

Other

Other17th IEEE International Conference on Information Reuse and Integration, IRI 2016
CountryUnited States
CityPittsburgh
Period7/28/167/30/16

Keywords

  • Catastrophe model
  • FPHLM
  • Validation

ASJC Scopus subject areas

  • Information Systems
  • Information Systems and Management

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