5a.6 Stochastic Modeling of Tropical Cyclone Track Data 5a.6

Damages that can be caused by meteorological phenomena, particularly tropical cyclones, pose a major financial risk to insurance and reinsurance companies. It is therefore necessary for these companies to assess the frequencies and intensities of tropical cyclones hitting areas with insured objects as precisely as possible to estimate their losses. The approach taken in this paper is to create a model for the tracks of tropical cyclones and the maximum wind speeds attained on these tracks. This model is almost entirely stochastic and based on historical data; it incorporates only a few very basic meteorological properties. The purpose of this is to reduce very complex meteorological events to simpler mathematical objects, which allows for the simulation of a large number of synthetic cyclone tracks. A numerical model can then be applied to these tracks and the respective maximum wind speeds to calculate wind speeds in areas affected by the storms. From these wind speeds, the required risk assessments can be made. Recent approaches based on similar ideas have been introduced by Emanuel (2005) and Hall (2005).