Designing parametric insurance in South Africa using Extreme Value Theory

October 7th, 2026 (Day 1) at 11:50 - 12:50, Meeting Room 1.40

This session, presented by Chris van der Merwe, will consider global parametric insurance experience in recent years, highlighting both the barriers and opportunities for take-up in South Africa. We will then explore the potential for using Extreme Value Theory (EVT) to quantify extreme rainfall and flash-flood risk in South Africa, to design a local, decision-ready framework for insurers, reinsurers, and public-sector stakeholders.

Through the presented research, you will gain:

• A replicable workflow to produce station-level return levels (e.g., 100‑year 24‑hour rainfall) with confidence intervals and fit diagnostics.
• A risk-ranking view of South African hotspots (e.g., coastal vs escarpment vs interior regimes) and where “beyond-historical” extremes are statistically plausible.
• Guidance on using EVT outputs to structure and price parametric flood/rainfall covers (trigger setting, payout curves, basis-risk considerations).
• Examples of how EVT can support SAM/Solvency capital validation and scenario design (including ORSA and climate pathway stress testing).
• A blueprint for public-sector applications (drainage design standards, cost–benefit of mitigation, and high-risk zoning).