Monte Carlo Based Sampling Distribution of Annual Rate of Exceedance for Earthquake Insurance

Sutawanir Darwis; Nusar Hajarisman; Suliadi; Achmad Widodo; Munira Diahsty Marasabessy; Iqbal Arya Ramadhan

doi:10.29313/statistika.v24i1.3173

Authors

Sutawanir Darwis Bandung Islamic University
Nusar Hajarisman
Suliadi
Achmad Widodo
Munira Diahsty Marasabessy
Iqbal Arya Ramadhan

DOI:

https://doi.org/10.29313/statistika.v24i1.3173

Keywords:

Annual Rate of Exceedance, Monte Carlo Simulation, Sampling Distribution, Synthetic Catalogue

Abstract

ABSTRACT

Seismic hazard expressed in terms of annual rate of exceedance and is used to calculate the earthquake insurance premium. Annual rate of exceedance is a complicated function of magnitudes, distances from site to earthquake sources and attenuation. Due to its complexity, determination of exact sampling distribution of earthquake insurance premium is not an easy task. This research proposes Monte Carlo simulation approach to determine the sampling distribution of earthquake insurance premium. Annual rate of exceedance was simulated first and then the insurance premium calculated based on simulation of annual rate of exceedance. The simulation involves quantifying synthetic catalogue similar to historical catalogue. Its simulation is conducted in order to construct annual rate of exceedance as an indicator of earthquake risk used in earthquake insurance. The simulation of 25 iteration and sample size of 100 shows that the sampling distribution of insurance premium is skewed to the right. The idea of using Monte Carlo simulation to study the sampling distribution of annual rate of exceedance is the originality of the study and the study contributes to the methodology of earthquake insurance.

References

Akkar, Sinan, and Yin Cheng. 2016. “Application of a Monte-Carlo Simulation Approach for the Probabilistic Assessment of Seismic Hazard for Geographically Distributed Portfolio.” Earthquake Engineering and Structural Dynamics 45(4): 525–41.

Alessandri, S. et al. 2018. “Probabilistic Risk Analysis of Process Plants under Seismic Loading Based on Monte Carlo Simulations.” Journal of Loss Prevention in the Process Industries 53(December 2017): 136–48.

Amerian, Nadereh, Elham Shabani, and Ramin Nikrouz. 2019. “Comparing the Best-Estimate Uniform Hazard Response Spectra to the Observed Data from the Mw 7.3 Earthquake on November 12, 2017 in the Kermanshah Areas of Western Iran.” European Journal of Geosciences 34(April): 19–34.

Baker, Jack W. 2008. “An Introduction to Probabilistic Seismic Hazard Analysis (PSHA).” Baker research group: 1–72. http://www.stanford.edu/~bakerjw/Publications/Baker_(2008)_Intro_to_PSHA_v1_3.pdf.

Deniz, A., and M. S. Yücemen. 2007. “Assessment of Earthquake Insurance Rates for the Turkish Catastrophe Insurance Pool.” Applications of Statistics and Probability in Civil Engineering - Proceedings of the 10th International Conference on Applications of Statistics and Probability, ICASP10 (July): 315–16.

Ebel, John E., and Alan L. Kafka. 1999. “A Monte Carlo Approach to Seismic Hazard Analysis.” Bulletin of the Seismological Society of America 89(4): 854–66.

Ferrario, E. 2014. “System-of-Systems Modeling and Simulation for the Risk Analysis of Industrial Installations and Critical Infrastructures.” http://scholar.google.comhttps//tel.archives-ouvertes.fr/tel-01127194/.

Giannella, V. 2022. “On the Statistical Nature of Fatigue Crack-Growth through Monte Carlo Simulations and Experimental Data.” IOP Conference Series: Materials Science and Engineering 1214(1): 012020.

Hendradewa, Andrie Pasca. 2019. “Schedule Risk Analysis by Different Phases of Construction Project Using CPM-PERT and Monte-Carlo Simulation.” IOP Conference Series: Materials Science and Engineering 528(1).

Kowsari, M, and B Halldorsson. 2017. “ON THE PROBABILISTIC SEISMIC HAZARD ESTIMATE FOR HUSAVIK , NORTH ICELAND , ON THE BASIS OF MONTE CARLO METHODS.”

Musson, R. M.W. 2000. “The Use of Monte Carlo Simulations for Seismic Hazard Assessment in the U.K.” Annali di Geofisica 43(1): 1–9.

Osei, Jack Banahene, Mark Adom-Asamoah, Ahmed Ali Awadallah Ahmed, and Eugene Boasiako Antwi. 2018. “Monte Carlo Based Seismic Hazard Model for Southern Ghana.” Civil Engineering Journal 4(7): 1510.

Pailoplee, Santi, and Chitti Palasri. 2014. “CU-PSHA: A MATLAB Software for Probabilistic Seismic Hazard Analysis.” Journal of Earthquake and Tsunami 8(4): 1–26.

Paul, Mannu Bardhan, Anirban Dutta Ankan, Himadri Deb, and M. Monjur Ahasan. 2023. “A Monte Carlo Simulation Model to Determine the Effective Concrete Materials for Fast Neutron Shielding.” Radiation Physics and Chemistry 202(August 2022).

Trifunac, M D, and A G Brady. 1975. “On the Correlation of Seismic Intensity Scales with the Peaks of Recorded Strong Ground Motion.” Bulletin of the Seismological Society of America 65(1): 139–62. http://ezproxy.cul.columbia.edu/login?url=http://search.proquest.com/docview/22410233?accountid=10226%5Cnhttp://rd8hp6du2b.search.serialssolutions.com/?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&rfr_id=info:sid/ProQ%253Aearthquake&rft_val_fmt=info:ofi.