Trimming the UCERF3-TD Logic Tree: Model Order Reduction for an Earthquake Rupture Forecast Considering Loss Exceedance

Abstract

The size of the logic tree within the Uniform California Earthquake RuptureForecast Version 3, Time-Dependent (UCERF3-TD) poses a challenge to riskanalyses of large portfolios, especially when multiplied by multiple ground-motionprediction equations and site-effect models. An insurer or catastrophe risk modelerconcerned with rare, catastrophic losses to a portfolio of California assets wouldtoday have to evaluate a portfolio 57,600 times to create a loss exceedance curvethat explores the entire possibility space. Which branches matter most, and whichcan be ignored? We employed two model-reduction techniques to find a subset ofUCERF3-TD parameters that must vary and fixed baseline values for the remaindersuch that the reduced model produces approximately the same distribution of lossthat the full model does. The two techniques are (1) a tornado-diagram approachwe employed previously for UCERF2, and (2) an apparently novel probabilisticsensitivity approach that appears better suited to functions of nominal randomvariables. The newer approach produces a smaller reduced model with only 60leaves. Results can be used to reduce computational effort in loss analyses byseveral orders of magnitude.</p