Contingencies Online - November/December 2009

To evaluate Economic Capital, Reserve and Underwriting Risk Charges, Risk Diversification Credit, Optimal Retention and meet the requirements of Solvency II you need tools that allow you to model the probability distributions and inter-relations (correlation matrices) inherent in your long tail liabilities. For models to be useful they must be identified from, and validated by, the data. They must also give a succinct description of the volatility in each line of business and their correlations. The modelling frameworks for Solvency Risk should be systematic, consistent and transparent.

Cutting-edge technology for Capital Risk Management

™ICRFS-PLUS™ICRFS-PLUS

Managing and Measuring Long Tail Liability Risk

ICRFS-PLUS™ is a long tail liability Risk Management system that is the key to an innovative way to manage and measure long tail liability risks. The model identification methodologies take into account inherent process variability, as well as parameter uncertainty and correlations, all driven by the data. The results are concise and intelligible from a purely business perspective. Forecast probability distributions, by accident period and calendar period, including aggregates over different lines of business, together with Best Estimates of liabilities, are produced under transparent user-defined scenarios that can be related to past volatility. Reserve and Underwriting Risk Charges, Risk Diversification Credit and complete VaR and T-VaR tables enable rapid calculation of Expected Shortfall and other mandated risk measures. Effectiveness of diversification strategies can be gauged instantly by way of Risk Capital Allocation tables by Line of Business and calendar year.

P S- F R C I S UL ™

One Composite Model for all Long Tail Liability Lines of Business

One double click loads the composite model and reveals pictorially the volatility structure of each long tail LOB in your company and their inter-relationships (correlation structures). All the critical financial information is computed at warp speed. A company-wide report can be created effortlessly with a single report template.

Integrated System for Risk Information Management

With ICRFS-PLUS™ data input, updating, reporting, monitoring and testing the adequacy of claims provisions are all done within one integrated system. Communication with other software or other databases can be automated using COM scripts. It is effortless to navigate the ICRFS-PLUS™ database so that each actuary has access to the same information with just a few mouse clicks.

Survey of Industry Data Made Easy

Custom importing scripts and macros are supplied to automatically create ICRFS-PLUS™ databases from commercially available industry databases, A.M. Best and NAIC (USA) and S&P Syn Thesys (UK). This is the key to unlocking a wealth of unparalleled information that no risk manager should be without.

Unparalleled Knowledge and Information at Your Fingertips

ICRFS-PLUS™ incorporates a unique collection of knowledge and applications - including pricing future underwriting years (high severity/low frequency) and design of optimal outward and inward reinsurance. Unique eSupport is facilitated by the use of compact portable models encapsulating the information found in the data and scenarios for the future. These models allow you to generate immediately all that you need - for example, graphical depictions of models, probability distributions for future payment streams and Capital Allocation by Line of Business and calendar year based on variances/covariances measured from the data.