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16324340
MfAD
Descripción
Margin for Adverse Deviation
Sin etiquetas
mfad
margin
deviation
fcas
exam6c
Mapa Mental por
Genevieve Gagnon
, actualizado hace más de 1 año
Más
Menos
Creado por
Genevieve Gagnon
hace más de 5 años
20
0
0
Resumen del Recurso
MfAD
Nota:
reflects the degree of uncertainty of the best actuarial estimate
Considerations:
Knowledge
Frequency and Severity
Contract Duration
Prob Dstr
Experience
Reasons for fluctionation
Error of estimations
Insufficient or unrelaliable historical data
Future conditions differ from the past
Unanticipated Inluences
Statistical fluctuations
Stochastic
Key Concepts
Risk Distribution
probability of uncertain outcome will arrive
normal distribution
Why good
symmetric same prob for good or bad news
risk measures only with s.d, confidence level or CTE
Central limit theorem
Nota:
sum of any set of homogeneous and uncorrelated risks will approximate the normal distribution as the number of risks increases to infinity
Not good for insurance
not enough risk
individual risk are seldom sysmetric
correlated with inflation, environment, court decision
Standard Deviation
Coefficient of variation (CV)
Nota:
s.d/mean
Skewness
Ins. + (many 0 claims)
longer to settle, bigger skew
Settlement Rate
Model
loss distribution using simulation
assumptions, method and approximation are reasonable for the contracts
Product
Stop loss reinsurance
Catastrophe
credit, warranty, and mortgage guarantee insurance
Nota:
highly correlated with inflation, unemployment rate
long tail: prof liab
Extreme Event problem: low credibility data
weighted average
Nota:
weighted averages of possible scenarios of relevant extreme events (usually those not reflected routinely or at all in the available data),
judgemental analysis
Nota:
of particular operational or risk issues (e.g., new claims or underwriting systems or procedures).
Quantile approcha
multiple S.D
simple and pracitcal
percentile, VaR, Confidence level
most common
P(actual < mean + margin) = p
depends only on the shape
Improvements: add a parameter of uncertainty for the time for reflecting time (greater for long tail)
CTE or Trail Value at Risk
average of outcomes that exceed Qth percentile
Nota:
a 75th percentile CTE result is the mean result of the 25% highest cost scenarios.
weighted-average of the highest (100-Q)% of the results from stochastic simulation
2 insurance aspects
Timing (settement pattern)
Shape
Nota:
the risk distribution of possible outcomes around the mean value, at the reporting date, over a specified time horizon
Deterministic
Investment (i to discount)
Considerations
Asset/Liab matching
Difficult to match asset and liability
Timing
Error in estimating the payment pattern
Credit
Asset Risk
Formula
Weighted formula
Explicit quantification
Recovery from Reinsurance
Considerations
Proportion
Ceded LR Ceded Commission
Unregistered Reins.
Financial Situation
Under Liquation
Weak Fin. Conditions
Development
Considerations
LOB
Change in Legislation
Long tail
Operational
Lack of Employees
Lack of Guideline
Employee turnover
Data
Credible
Homogeneous
Stable
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