Technical details regarding some of the features in ICRFS-Plus™
One MPTF ICRFS-Plus™ model for multiple lines, multiple layers and multiple segments.
A MPTF ICRFS-Plus™ model for N lines of business will incorporate both “correlations” between parameters in the model for each line and “correlations” in the residuals.
To see how this will work consider first one line of business where Y is a random variable representing the loss reserve and Z is a vector of parameters of the model for Y.
We can decompose total variability:
Var(Y) = Var(E(Y|Z)) + E(Var(Y|Z))
That is:
Total Variability = “Risk Parameter Uncertainty” + “Process variability”
Similarly, for two lines of business with associated loss reserve variables X and Y, and parameter vector Z that incorporates parameters for both lines
Cov(X,Y) = Cov(E(X|Z), E(Y|Z)) + E(Cov(X,Y|Z))
The covariance of two loss reserve forecasts is decomposed into two components:
- The covariance of conditional expectations comes from parameter covariances (and the model design for each line).
- The expectation of the conditional covariance is the error covariance (estimated from residual covariances).
Making ICRFS-Plus™ an open system.
XML integration
ICRFS-Plus™ 10 takes an advantage of XML as an industry standard for data interfaces between different systems and companies. If you have triangle data in another application that can export in XML format, you can now import it directly into ICRFS-Plus™.
The XML format must conform to the ICRFS XML schema. The XML schema for version 10.2 is available here. Version 10.1 users should download a copy of the version 10.1 ICRFS XML schema. All comments are welcomed.
Please contact Insureware if you would like help with building or transforming XML files to conform to this schema.
There is a lot of information on the web about XML, e.g. www.xml.org
ICRFS automation
Automation allows ICRFS users who have some experience with one of the scripting languages like:
- Windows Script Host
- Office applications (scripting in Word and Excel)
- HTML scripting (DHTML)
- VBScript
- S-Plus
to integrate ICRFS-Plus™ with other software. For example, you can read and write to ICRFS databases through software such as Visual Basic for Excel to:
- Extract information from your database. How many triangle groups does it contain? How many triangle groups have been updated to 2003? How many triangle groups have variable LOB set to "AutoBI"?
- Put information directly into your database. Create variables and set values for each triangle group. Set up a macro that will create a triangle group from data in your spreadsheet.
This allows you to customise the process of getting data into ICRFS-Plus™. In later versions, you will have access to many other functions within ICRFS-Plus™ that will allow you to manipulate and customise the output.
Return to features page.
See Current and Future Research for more information on what we are working on for future versions.
Contact support@insureware.com with any enquiries