Abstract
This paper begins with a description of how to calculate the aggregate loss distribution for an insurer. The model underlying this calculation reflects dependencies between the various lines of insurance. We include most of the standard insurance exposures as well as property catastrophe exposure. Next we show how this aggregate loss distribution can be used to allocate the cost of capital and evaluate various reinsurance strategies. We demonstrate the use of this methodology on two illustrative insurers. We believe this methodology can be used in practice by most insurers.
Volume
Summer
Page
15-82
Year
2003
Categories
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Financial and Statistical Methods
Risk Measures
Tail-Value-at-Risk (TVAR);
Financial and Statistical Methods
Loss Distributions
Actuarial Applications and Methodologies
Valuation
Publications
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