ICFS-Plus: Actuarial Software for the Property and Causality Insurance Industry

Insureware's Promotional Material


Brochures


Modelling brochures contain case studies using real-life examples.


ICRFS Software Suite

A short flyer outlining the ICRFS Software suite (12 pages) can be downloaded here. This brochure is a simplified outline of the brochure listings below.


1. ICRFS™ Importer

Insureware's new versatile technology, ICRFS™ Importer, accelerates the implementation process even further! ICRFS™ Importer builds a bridge between a database holding a mass of transaction records and an analytic engine which can analyse triangle data.


Access information instantly:


  • Connect large repositories of unit record data with ICRFS™
  • Extract all database variables
  • Create triangles at any granularity for analysis
  • Convert claims table data into loss development triangles
  • Aggregate:
    • Across all values of a variable
    • By particular values
    • Across multiple categories and values

To download the latest ICRFS™ Importer brochure please click here (PDF size approx 1.0Mb)


2. ICRFS-Plus™ relational databases

Organise data and information

A corporate ICRFS-PLUS™ database contains triangle groups and composite triangle groups.
Composite triangle groups relate data (and models) between triangle groups and form the base for a single composite model for the whole company. Triangle groups contain:


  • triangles
  • premiums
  • exposures
  • datasets and composite datasets
  • models
  • forecast scenarios, and
  • links to reports in a structured, relational database.

Models, forecasts, and data relevant to a LOB or segment (including notes) are associated via triangle groups providing ready access to any company data.


Compare your company to other companies and the industry

The unique technological power of ICRFS-Plus™ combined with A.M. Best's or NAIC Schedule P (USA) or S&P SynThesys (UK) data converted into an ICRFS-Plus™ database will put your company financially and strategically ahead. Compare companies loss costs using the modelling wizard.


To download the latest database flyer please click here (Note: PDF size is approx 1.4Mb)


3. Modelling multiple long tail liabilities - get the complete perspective

One area of ICRFS-Plus™ functionality is the modelling of multiple long tail liability lines. We have just produced a comprehensive review, with examples, of ways that ICRFS-Plus™ can answer the sorts of questions that arise in this area of modelling. Great flexibility in model and scenario set-up together with unparalleled richness of output options can be creatively leveraged to model a great variety of different real-world situations. The case studies in the brochure will, we hope, inspire prospective users of ICRFS-Plus™ to find new and creative solutions which will enhance the operations of, and add strategic value to, their companies.


Topics covered in the attached booklet include:


  • Introduction to the Multiple Probabilistic Trend Family (MPTF) modelling framework
    (for modelling multiple lines, segments, or layers);
  • Modelling the whole company with different aggregations for different parts of the company;
  • Correlations between long tail liability lines;
  • Summaries by LOB, accident year and calendar year;
  • Updating, monitoring, and reserve releases;
  • Solvency II one year and ultimate year risk horizon metrics;
  • Losses and recoveries;
  • Comparing companies from A.M. Best Schedule P data imported into an ICRFS-Plus™
    relational database;
  • Common drivers, accident years and calendar years.

To download the latest article on modelling multiple long tail liabilities please click here (PDF size approx 4.0Mb)


4. Understanding correlations and common drivers

The brochure "Understanding Correlations and Common Drivers" aims to provide a comprehensive overview of correlations, accident year drivers and calendar drivers, in the context of long-tail liabilities using a minimum of technical language.


Real life data is used to explain the important differences between the different risk metrics:


  1. Correlations (volatility, parameter, and forecast distributions);
  2. Accident year drivers; and
  3. Calendar year drivers.

Common drivers are a stronger relationship than correlation. However, they are not typically found outside closely related losses. For example, Gross versus Net of Reinsurance (Net of Reinsurance is a subset of Gross so common drivers are expected), layers (layers are subsets of ground up losses), and segments of the same line. In this respect, detection of common accident year and calendar year drivers is as important as understanding correlations. The three effects must be correctly distinguished and adjusted for as management strategies of these risk components differ.


We often come across statements such as "the correlation between these two lines of business, CAL and PPA, is 87%". What does this mean? Is there indeed such a thing as a correlation between two lines of business in the abstract?


We show that correlations, as a measure of risk diversification, are only meaningful in the context of a model. Correlations are model dependent and a poor model may induce spurious (pseudo-) correlations.


Correlations in the industry are not applicable to an individual company. Just as trends in a company's LOBs are unique to that company, so too are the correlation matrices connecting the risk characteristics of those LOBs.


There are different types of correlations, namely, volatility correlation, parameter correlation and forecast distributions correlations. These are measured via the identified (optimal) models for the data, though the actuary does have control on future assumptions (going forward).


A number of detailed real life case studies are provided to show these ideas in action. Analysis shows that each company has individual risk characteristics that are different to the industry.


Particular attention is paid to detecting and responding to common drivers as these will typically have a greater impact than correlations, and need to also be factored in when pricing future accident (underwriting) years.


To download the latest article on Understanding correlations and common drivers please click here (PDF size approx 2.6Mb)


5. Solvency II - One-Year and Ultimate Year Risk Horizons, IFRS 4 Phase II, Ring Fencing, and Fungibility

Economic Balance Sheet, SCR, Technical Provisions (Fair Value of Liabilities), Market Value Margins (Risk Margins), Fungibility and Ring Fencing.


In the following brochure we discuss Insureware's solution to the one-year risk horizon for the Solvency II Capital Requirement for the aggregate of multiple long-tail liability LOBs. The relevant directives are discussed and the solution provided is shown to satisfy those directives. In addition, fungibility, ring fencing, and consistency of Solvency II estimates on updating are also discussed.


Risk diversification of SCR and Risk Margins (due to lack of correlations) is illustrated with six (real-life) LOBs.


To download the latest flyer on Solvency II - IFRS 4 Phase II please click here (PDF size approx 1,899KB)


6. Pricing: Segments, Layers, and Reinsurance

One area of the product's functionality is pricing both retrospectively and prospectively, optimal retention, and design of creative reinsurance structures. We have just produced a comprehensive review, with examples, of ways that ICRFS-Plus™ can answer the sorts of questions that arise in these fields. Great flexibility in model and scenario set-up together with unparalleled richness of output options can be creatively leveraged to model a great variety of different real-world situations. The case studies in the attached booklet will, we hope, inspire users of ICRFS-Plus™ to find new and creative solutions which will enhance the operations of, and add strategic value to, their companies.

Topics covered in the brochure:


  • Pricing Future Underwriting Years
  • Assessing Outward ReInsurance
  • Layers
  • High Severity/Low Frequency
  • Adverse Development Cover (ADC)
  • ADC as a protection against emergence of high calendar trends.


We would draw your attention especially to the last topic. The emergence of new high calendar trends is one of the most likely sources of a serious reserve shortfall. Only ICRFS-Plus™ has the ability to precisely quantify the resulting risks.


Pricing, reserving and reinsurance of long tail liabilities are connected issues. All relate to modelling loss development arrays. In order to calculate the required measures accurately, it is important to use a modelling framework capable of extracting all the pertinent information from the data.


In this brochure we describe (briefly) two modelling frameworks which satisfy the above criteria. We then provide a series of case studies illustrating the depth and breadth of applications of ICRFS-Plus™ to long-tail liability risk management for pricing and reinsurance.


To download the full version PDF please click here (Please note that this file is approx 3,700KB and may take some time to download)


7. Link ratios, Mack, Murphy, Over-Dispersed Poisson, and the bootstrap technique

Methods based on link ratios are among the most widespread techniques for obtaining best estimates of reserves. There are three primary reasons for this. First, they are mathematically simple to calculate in a spread-sheet and do not presuppose any statistical analysis. Second, with the formulation of volume weighted average (chain ladder) link ratios as regression equations, the methods 'became stochastic' and were able to accommodate the industry's need for 'ranges'. Third, further enhancements by way of the bootstrap technique have provided link ratios with a response to the demands of modern risk management, such as those emerging from Solvency II.


In spite of their popularity, link ratio methods are also known to have fundamental drawbacks and are being superseded by new scientific developments. In this brochure we challenge the pervasive use of link ratios as a method of calculating reserves and present an up to date alternative.


Topics covered in the brochure:


  • Introduction to link ratio methods
  • Link ratio methods formulated as regression estimators
  • The Mack (Chain Ladder) and Murphy extensions
  • The Extended Link Ratio Family (ELRF)
  • The bootstrap technique
  • Link ratio methods and correlation
  • Comparison with the optimal model in the PTF modelling framework
  • Real life case studies!


To download the full version PDF please click here (Please note that this file is approx 5,200KB and may take some time to download)


8. ELRF™ Best's Schedule P 2015

What does ELRF™ Best Schedule P deliver?


Structured access to Best's Schedule P data - Gross and Net


Fast access to Schedule P long tail liability lines and related financial data, including for the Industry;


Critical financial information at your fingertips such as


  • Reserves Held;
  • Total Earned Premium;
  • Total Loss Ratio;
  • Survival Ratios;
  • % IBNR; and
  • Relative loss ratios (company vs industry) and relative survival ratios (company vs industry).

ELRF™ analytical tools including Mack and the bootstrap


Download the ELRF™ Best's Schedule P brochure PDF.


9. ICRFS™ A.M. Best Schedule P 2015

What does ICRFS™ best's Schedule P deliver?


All the functionality of ICRFS™ Best's Schedule P and:


The two probabilistic modelling frameworks of ICRFS-PLUS™ are:

  • Probabilistic Trend Family (PTF):
    • Identify trends in the three directions (development, accident, and calendar);
    • Measure the volatility around the trends;
    • Use the modelling wizard to quickly generate starting models;
    • Create company profiles to visually compare performance;
    • Compare loss costs between companies; and
    • Much more!
  • Multiple Probabilistic Trend Family (MPTF):
    • Measure correlation between multiple Lines of Business directly from the data;
    • Determine risk capital allocation and diversification credit for entire companies;
    • Calculate Solvency II one-year ahead statistics and associated risk for individual Lines of Business or whole companies; and
    • Much more!

See how ICRFS-PLUS™ empowers you to answer questions like:

  • Are our company's loss costs similar to our competitors?
  • Was Tower Group's collapse predictable years before?
  • Are our company's trends, risk diversification, and losses similar to our competitors?
  • Which companies should we target for reinsurance or acquisition?
  • What correlations should we use to calculate our risk diversification?

Download the ICRFS™ Best's Schedule P brochure PDF.


10. Did poor methodology sink Tower Group?

Tower Group: a failure in progress since 2007


  • A new calendar year trend that emerged in 2006 was steadily eroding their financial position and culminated in the failure of Tower Group in 2013 when under-reserving was finally noticed.
  • What took experts and stakeholders so long to see the problem?
  • Statistical models which describe calendar year trends in the data clearly demonstrate Tower Group was sinking way back in 2009!
  • Commonly used methodologies do not measure calendar year trends.
  • Using the right modeling tools in 2007 could have saved Tower Group. By 2011 it was far too late.

Is your company the next Tower Group?


Download the brochure to read more.


Flyers

ERM - Staying Ahead of Enterprise Risk

One great benefit of ICRFS-Plus™ is that you can manage and measure all your long tail liability risks with a single composite model. Only one model for each company!

 

A single composite model measures the reserve, underwriting and combined risks for each LOB and the aggregate.

 

One double click loads the model and reveals pictorially the volatility structure of each long tail LOB in your company and their inter-relationships (correlation structures). All the critical financial information such as risk capital allocation by LOB and calendar year, and Tail Value-at-Risk for different time horizons can be computed in a matter of seconds. A company-wide report can be created effortlessly with a single report template.

 

To download the latest flyer on ERM please click here (PDF size approx 1,000KB)


Integrated System for Enterprise Risk Management

Tired of wading through spreadsheets to find your data? An ICRFS-Plus™ corporate database, which is not difficult to create, enables complete executive oversight. Data, models, forecast scenarios, and links to reports all reside in a relational database. Models and data are linked with Triangle Groups.

 

To download the latest flyer on What is Unique About ICRFS-Plus™ please click here (PDF size approx 385KB)

 


What is Unique About ICRFS-Plus™

ICRFS-Plus™ contains the unique Probabilistic Trend Family (PTF) and Multiple Probabilistic Trend Family (MPTF) modelling frameworks for which the identified optimal models are easily summarized using, trend and volatility displays; and the different types of correlations, namely, process correlation, parameter correlation and reserve and underwriting distributions correlations.

 

To download the latest flyer on What is Unique About ICRFS-Plus™ please click here (PDF size approx 385KB)

 

COM Automation - Gaining a competitive advantage

The COM facility in ICRFS-Plus™ enables very rapid importation of data from almost any warehousing format. Processing of data (objects) can also be automated as part of the importing process. COM output from ICRFS-Plus™ also means automated reporting and linking to any other COM enabled product. Utilities designed for the effortless importation of US and UK Industry data (Schedule P and SynThesys) can give you a competitive advantage in comparing your company's intrinsic risk characteristics with your competitors.

 

To download the latest flyer on COM automation please click here (PDF size approx 378KB)


LRT / ELRF - The Link Ratio Techniques and Extended Link Ratio Family modelling framework

Apply and Test Regression Versions and Extensions of Link Ratio techniques including Mack. Standard Link Ratio Techniques, different weighted averages, 2- and 3-parameter selected Link Ratio Smoothing and so much more.

 

To download the latest flyer on LRT / ELRF please click here (PDF size approx 1,289KB)