Developing a natural catastrophe model for European winter windstorms, an insurer’s perspective

European windstorms are powerful extratropical cyclones mostly taking place during the winter months, and are one of Europe’s costliest natural disasters. The close study and assessment of this risk has therefore been essential for the insurance industry concerned. Typically, insurers resort to physical natural catastrophe models developed by third-party companies to analyze the risk, as they capture its components of hazard (events frequency and severity), exposure (insured assets values), and vulnerability (assets' damageability to given hazard intensities). AXA proposes a modeling methodology to produce a hazard catalog of synthetic windstorm events, and a vulnerability module, built around publicly available, purchased, or internal data. The hazard catalog is created using a meteorological feature tracking algorithm to extract trajectories and footprints of European windstorms in CMIP6 and ECMWF-ERA5 data. The catalog is then enriched to become a 10,000-year stochastic catalog by physically resampling original events with a perturbation technique, and statistically downscaling them to a 4-km resolution. The vulnerability, that yields damage ratios from local windspeed intensities, predicts the expected probability of claim occurrence and a distribution of conditional damage ratios based on wind gust value and exposure risk drivers. The model shows good backtesting performances at continental scale on market and AXA exposure. It is fully integrated within AXA's modelling ecosytem and is operationnally used to assess one of the major risks faced by the Group.