インドにおけるサイクロンリスク解析のための確率モデルの基礎研究

概要

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Recently, various alternative risk transfer transactions have been issued to diversify the natural catastrophic risk retained by property & casualty insurers to the financial market instead of traditional reinsurance market. Especially, the catastrophic bond based on the parametric trigger such as the center pressure depth at the cyclone landing is high transparency and objective index for the investors. Gujarat State in western part of India has rarely suffered the heavily losses by intense wind due to cyclone. The study is focused on the development of the cyclone risk model to design risk financing such as risk securitization using parametric trigger. In this study, we statistically analyzed the historical cyclone data to fit the probable distribution function of cyclone parameters. Using these parameters, we stochastically generated a large number of cyclone events to estimate the peak gust wind speed at the assumed portfolio. After applying various types of vulnerability function for buildings to the wind hazard, we obtained the risk curve.
社団法人日本建築学会の論文
2007-11-30