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RISK SPLITTER AND RISK QUANTIFYING FORECAST SYSTEM USING A STRUCTURED FORWARD-LOOKING SIMULATION TECHNIQUE QUANTIFYING CLASHING, LONG-TAIL RISK EVENTS CAUSING CASUALTY LOSS ACCUMULATION AND HIGH EARNING VOLATILITY, AND METHOD THEREOF
RISK SPLITTER AND RISK QUANTIFYING FORECAST SYSTEM USING A STRUCTURED FORWARD-LOOKING SIMULATION TECHNIQUE QUANTIFYING CLASHING, LONG-TAIL RISK EVENTS CAUSING CASUALTY LOSS ACCUMULATION AND HIGH EARNING VOLATILITY, AND METHOD THEREOF
Proposed is a passage-based risk splitter (11) providing risk splitting and loss event diversification for multi-risk forecast systems (1) capturing multiple loss aggregation under complex environmental conditions based on the occurrence of defined loss events (44). The loss events (44) are triggered by one or more involved causing units (4) and affected units (3), wherein the loss events (44) evolve from one or multiple risk accumulating sources. Risk events (44) related loss measures can be scattered over multiple causing units (4) and/or multiple related clash events (44). The multi-risk forecast system (1) provides loss-generating processes and events (44), wherein the inventive risk splitter (11) is a technical core element to generate an event-related loss distribution (112) mirroring cause-effect chains (100) induced by the risk events (44) which extend over space and time. The risk splitter module (11) allows automated splitting of the risk based on risk exposed, causing unit characteristics (111) and risk exposed affected units' characteristics (112). The causing unit characteristics (111) comprise, for each causing unit (4), assigned activity characteristic parameters (1110) and participation characteristic parameters (1111) of said causing unit (4) defining, for a specific causing unit (4), a specific set of executable activity link members (1112) and market share driving participation probabilities (1113). The causing unit characteristics (112) comprises quota parameters defining affected populations of affected units (3) with incidence (1121) and defining refined effect types (1122).
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