Abstract
The paper examines the extent to which indicated Premium Risk Factors (PRFs) and Reserve Risk Factors (RRFs) are related to ceded reinsurance usage. Prior DCWP work found that company insurance impairment probabilities generally increase as ceded reinsurance usage increases.
In this report, we show that that PRFs and RRFs are higher for companies with an elevated reinsurance usage for all-lines combined, for nearly all lines of business (LOBs) and generally across LOB-sizes than for companies with lower usage. This result allows us to connect the earlier impairment rate findings, which did not imply particular capital charges to mitigate the increased risk, to the indicated risk charges for the RBC formula.
This is one of several papers being issued by the Risk Based Capital (RBC) Dependencies and Calibration Working Party.
Keywords: Risk-Based Capital, Capital Requirements, Analyzing/Quantifying Risks, Assess/Prioritizing Risks, Integrating Risks
Volume
Fall, Vol. 2
Page
1-53
Year
2014
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Analyzing/Quantifying Risks
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Assessing/Prioritizing Risks
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Integrating Risks
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Actuarial Applications and Methodologies
Regulation and Law
Risk-Based Capital
Publications
Casualty Actuarial Society E-Forum
