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 long-tail liabilities. 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.

Understanding Correlations

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?

In the following article 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 pseudo-correlations. Correlation typically only arises between closely related segments (such as Net and Gross or Layers).

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 to are the correlation matrices connecting the risk characteristics of those LOBs.

ICRFS-Plus™ Database Brochure

Organise information

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

• triangles
• premiums
• exposures
• 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 will put your company financially and strategically ahead.

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.

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.

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.

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.

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.