Abstract
This paper summarizes key results from the Report of the Casualty Actuarial Society (CAS) Research Working Party on Risk Transfer Testing. The Working Party defined and described a structured process of elimination to narrow down the field of reinsurance contracts that have to be tested for risk transfer. Perhaps more importantly, the Working Party offered two metrics for gauging risk transfer that are superior to the standard “10-10” Value-at-risk (VaR) test commonly used: the expected reinsurer deficit (ERD) and right-tailed deviation (RTD). These metrics are described, with examples. A related metric, the risk coverage ratio (RCR), is also described.
Volume
1
Issue
1
Page
0009-0017
Year
2007
Keywords
Conditional tail expectation (CTE), expected reinsurer deficit (ERD), FAS 113, parameter risk, risk coverage ratio (RCR), risk transfer testing, value-at-risk (VaR)
Categories
Actuarial Applications and Methodologies
Accounting and Reporting
FASB
Business Areas
Reinsurance
Finite Risk
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability Transforms
Financial and Statistical Methods
Risk Measures
Risk Coverage Ratio
Actuarial Applications and Methodologies
Accounting and Reporting
Risk Transfer Testing
Financial and Statistical Methods
Risk loading
Publications
Variance
