To evaluate Economic Capital, Reserve and Underwriting Risk Charges, Risk Diversification Credit, Optimal Retention and
meet the capital requirements of Solvency II for the aggregate of multiple LOBs including Market Value Margins for
one-year and ultimate risk horizons 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.
SCR and Market Value (Risk) Margins for one-year and ultimate year risk horizons
ICRFS-PLUS™ is a long tail liability Enterprise Risk Management system that is the key to an innovative way to manage and
measure long tail liability risks. A single composite model for multiple LOBs produces forecast probability distributions of
loss reserves (and their correlations) by accident period, calendar year and total, for each LOB and the aggregate of all
LOBs. Best Estimates of Liabilities, VaRs and T-VaRs by calendar year and sums of calendar years are derived under
transparent user-defined scenarios that can be related to past volatility. Reserve and Underwriting Risk Charges, Risk
measures including Solvency II Risk Capital, Technical Provisions (Fair Value of Liabilities), MVM and Cost of Capital for
one-year and ultimate-year risk horizons. Effectiveness of diversification strategies can be gauged instantly from Risk
Capital Allocation tables by LOB and calendar year. The results are concise and intelligible from a purely business
Solvency II, IFRS 4 Phase II, Ring-fencing and fungibility
Ring-fenced funds are discussed in QIS 5, SCR 11, while IFRS 4 Phase II (Exposure draft (2010), BC119) recommends risk
margins are determined at the level of portfolios. Both proposals consider the situation where, for legal or regulatory
reasons, portfolios are not fungible - that is, a surplus in one portfolio (group of LOBs) does not supplement a loss in another
portfolio. ICRFS-Plus provides flexibility in constructing portfolios and defining the level of fungibility - including whether
surpluses in early calendar years can supplement losses in later years; buffering the risk fund. Fungibility solutions address
legal and regulatory concerns, while retaining the fundamental risk pooling principle.
One Composite Model for all Long Tail Liability Lines of Business
Model identification methodologies take into account inherent process variability, parameter uncertainty and correlations;
all driven by the data. 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 instantly. 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. Interaction with other software (or databases) can be automated using COM scripts. Each
actuary has access to the same information within an ICRFS-PLUS™ database. Database access can be restricted, by users,
to read-only access.
Survey of Industry Data Made Easy
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.