Stochastic Modeling of Western North Pacific Typhoons for Japanese Property Insurance Loss Estimation

摘要

In this paper, a grid-based stochastic modeling technique is developed for simulation of the typhoons in Western North Pacific basin for Japanese property insurance loss estimation. For this reason, attentions have been focused on simulating realistic typhoons that could cause property damage to Japanese islands. Probability distributions are used to fit the historical typhoon frequency and other physical parameters that are essential for property insurance loss estimation. Grid systems of different sizes are introduced to capture the dependency of typhoon parameters upon longitude and latitude. Variations of typhoon physical parameters in the lifetime of a typhoon are also modeled. Typhoons simulated using this grid-based modeling technique have shown to be realistic and in good match with historical data in many aspects that are crucial for reliable property loss estimation for Japanese property insurance industry.