Among the new and improved features of ICRFS-Plus™ 10.4 are the following.
- Conditional statistics in PTF and MPTF forecast summaries. Conditioning is on the next calendar period of data - these are useful for one period horizon calculations.
- T-VaRs added to Quantile and VaR tables in the PALD module.
- Interactive risk capital allocation graphs in the PALD module of MPTF based on VaRs and T-VaRs.
- Simulation of bootstrap samples from PTF and ELRF models. These are recommended to be used as diagnostic tools.
- Two and three parameter smoothing of link ratios in LRT.
Other features are expanded on in more detail below:
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1. Database
a. Importing and Exporting via XML now includes models, forecasts, documents and links to reports. Additionally, the import/export of accompanying models, forecasts, documents, reports and database variables and values can be switched on and off via check-boxes. The new xml schema is available here.
b. Transferring Variables: Only variables that have values assigned are transferred when Triangle Groups are copied between databases
Monthly, Quarterly, Half-Yearly and Annual sampling periods can be combined in any combination as long as calendar period is equal to or a subdivision of accident period. Collapsing to a longer sampling period can be done with a full choice of different starting points.
c. Basic/Composite tab: The basic/composite tabs in the model pane of the Triangle Group window have been moved to the top of the Model's panel.
4. PTF and MPTF Interface
a. Forecast summaries
Tabs in PTF and MPTF have been rearranged. The Correlations tabs are now a sub-tabs of accident and calendar period for the respective accident and calendar correlations. The covariances tables have been removed. However future covariances and correlations can still be accessed in the text file saved using the option "Save Future Pair-wise Covariances" in the Forecast menu (note that the future covariances need to be stored in the forecast dialog).
b. Conditional statistics
PTF and MPTF now include optional conditional statistics which estimate the expected variability in Standard Deviations and Ultimates after one diagonal of new data is introduced. There is a tick box 'Estimate statistics conditional on the next calendar period' on the future parameters panel of the dialog box to control whether these statistics are calculated. By default this checkbox is not ticked.
c. Forecast summaries: calendar
Forecast Summaries by calendar period now include cumulative payment as percentage of total.
d. PTF: Residuals table
PTF: The Residuals table now includes the Studentised Weighted Residuals (t-Res). These are used in the creation of Bootstrap samples.
PTF: In addition to simulating triangles from the fitted PTF model, you can now also create simulated Bootstrap triangles (psuedo-data) using the Bootstrap technique. Further information can be obtained from the demonstration videos in Chapter 9.
3. MPTF
a. The MPTF Forecast Summary now includes a range of graphs and tables for comparison between LOBs (or components of the composite dataset).
b. In the MPTF Forecast Summary, Risk Capital Allocation is now shown in the form of pie charts as well as tables. This applies to the allocation for the aggregate as well as the split by Accident or calendar period. The position of the and colouring of the tabs has also been redesigned to make navigation easier.
c. Spline hetero has been removed from MPTF; this feature is still available in PTF.
4. PALD / Reinsurance
a. T-VaR (=Tail Value at Risk also known as Expected Shortfall) has been added to the distribution table in PALD.
b. MPTF PALD: A range of Risk Capital tables and graphs has been added to the PALD Display. These can be calibrated to aggregate risk capital based on either VaR or T-VaR at a chosen percentile level, and afford detailed comparisons of the resulting risk levels for each LOB.
5. ELRF and LRT
a.Two and Three Parameter link ratio smoothing can now be applied to all or part of any row of the ratio table to produce smoothed sequences of development factors.
b. The incorporation of ratio smoothing into LRT has necessitated a redesign of the modeling interface in the Selections Table. This enables many new forms of ratio selection.
c. The Ratio Method known as Weighted Ex High/Low has been added to the Selection table. This is the volume weighted average of the ratios after excluding the highest and the lowest.
d. The row final selection can no longer be edited directly, but values must be copied into this row via 'copy to selection' or the F4 button. If an entire row is selected, then the entire row is copied to selection when requested, in all other cases only the last active cell is copied.
e. The smoothing formula can also be set to produce a "To Ultimate" ratio based on a pre-defined future horizon.
f. Bootstrap simulations, (pseudo-datasets) can now be generated from ELRF models.
g. Associated dataset names are now displayed in the window bar for Incurred Loss datasets in the ELRF and LRT modelling frameworks.
6. COM
a. A number of new COM functions have been added for PTF and MPTF COM.
b. The COM Reference has been made a separate free-standing section of the Help menu.
c. COM functionality has now been extended to ELRF.
To view the latest ICRFS-Plus™ Brochure click here
See Current and Future Research for more information on what we are working on for future versions.
Contact support@insureware.com with any enquiries