Abstract
The Actuarial Advisory Committee to the NAIC Property/Casualty Risk-Based Capital Working Group has developed a recommended method for treating covariance. Our technique combines the separately-determined RBC amounts for all of the risk elements, assuming that everything bad doesn't occur at once. The proposal is based on data analysis as much as possible and, we believe, sound judgment otherwise. We have included results from our recent extensive analysis of underwriting risk over 1982-91, from testing on individual companies and from comments on earlier proposals.
Volume
Summer
Page
173-202
Year
1993
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Actuarial Applications and Methodologies
Regulation and Law
Risk-Based Capital
Publications
Casualty Actuarial Society E-Forum
