Hurricane Catastrophe Model Prototype

Catastrophe Modeling · Portfolio Risk · Excel Prototype

Executive summary

I built a hurricane catastrophe model prototype in Excel to demonstrate a full end-to-end workflow, from hazard generation through portfolio loss aggregation. The model mirrors how a CRO views cat risk: exceedance probability curves, VaR/TVaR metrics, and portfolio risk insights.

Model architecture

Hazard module: Holland wind field model generating realistic storm footprints.
Exposure module: Property portfolio with location, construction, and TIV attributes.
Vulnerability module: HAZUS-based damage functions by construction class.
Financial module: Policy terms, sublimits, and a layered reinsurance tower.
Stochastic engine: Monte Carlo event catalog powering AEP/OEP curves.

Stochastic engine design

The simulation engine generates event frequencies, storm parameters, and loss outcomes across thousands of years. The event catalog feeds loss distributions and return period metrics for capital planning.

10,000-year Monte Carlo catalog with storm frequency and severity distributions.
Footprint-driven hazard intensities mapped to exposure locations.
Loss aggregation across portfolio and reinsurance layers.

Outputs that matter to a CRO

OEP and AEP exceedance probability curves (2–1,000-year return periods).
VaR and TVaR metrics with capital adequacy ratios.
Portfolio risk insights by state, construction, and coastal proximity.

Download the Excel model →

Why this prototype is useful

The model shows how hazard, exposure, and vulnerability assumptions translate into economic loss and capital decisions. It provides a structured, auditable workflow that mirrors cat modeling practice while staying accessible in Excel for rapid scenario analysis.

Next steps

Expand to multi-peril (wind + surge) and secondary uncertainty.
Integrate climate-conditioned frequency assumptions.
Link to portfolio growth and underwriting strategy scenarios.