Insurance Risk Study教程.pdfVIP

Insurance Risk Study Sixth Edition 2011 Contents 3 Foreword 16 Correlation and the Pricing Cycle 4 Global Risk Parameters 18 Macroeconomic Correlation 6 U.S. Risk Parameters 19 Global Market Review 7 U.S. Reserves 20 Global Statistics: Motor 10 Innovations in Crop Insurance Modeling 21 Global Statistics: Property 12 An Optimal Insurer in a Solvency II World 22 Global Statistics: Liability 14 Innovations in Hedging 23 Afterword: The Good Risk About the Study Rating agencies, regulators and investors today are demanding that insurers provide detailed assessments of their risk tolerance and quantify the adequacy of their economic capital. To complete such assessments requires a credible baseline for underwriting volatility. The Insurance Risk Study provides our clients with an objective and data-driven set of underwriting volatility benchmarks by line of business and country as well as correlations by line and country. These benchmarks are a valuable resource to CROs, actuaries, and other economic capital modeling professionals who seek reliable parameters for their models. Modern portfolio theory for assets teaches that increasing the number of stocks in a portfolio will diversify and reduce the portfolio’s risk, but will not eliminate risk completely; the systemic market risk remains. This is illustrated in the left chart below. In the same way, insurers can reduce underwriting volatility by increasing account volume, but they cannot