Quantica Risk Modelling
Catastrophe modelling: what vendor output does not tell you
Two cat models disagreeing is information, not an inconvenience.
By Jonas Mohamed Osman Abdelghafour, known as Yonas Osman (Yonas Osman) ·
Vendor catastrophe models are indispensable and incomplete. Their event sets, vulnerability curves and secondary-peril treatment embed assumptions that may not match the portfolio being priced.
Useful work sits in the gap: exposure data quality, blending views across models, adjusting for non-modelled perils, and translating the resulting loss curve into reinsurance structure and capital decisions.
Where two credible models produce materially different return-period losses, the right response is to quantify the difference and make the risk appetite decision explicitly — not to select the more comfortable number.
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman, is an actuary and FRM who has spent more than twenty years building and validating risk models across banking, insurance and marine markets.
Key takeaways
- Exposure data quality dominates model choice.
- Non-modelled perils need an explicit loading.
- Model disagreement is a governance decision, not a rounding issue.
Author bio
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman is an actuary, FRM and financial risk professional specialising in banking, insurance, model risk, capital modelling and quantitative risk management.