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

ICRFS-Plus™ Demonstration videos and powerpoint slide show


ICRFS-Plus™ is a tour de force of interactive software design and computational speed.

An ICRFS-Plus™ corporate database, which is not difficult to create, enables complete executive oversight. This means that that you will be able to find, with just a few mouse clicks, models and reports for any segment of your business in any country, the actuary modelling that segment of the business, capital allocation by LOB and calendar year, reserve risk charge and underwriting risk charge for the aggregate of LOBs, whether outward reinsurance is effective in respect of reducing retained risk, and more. Creation of an ICRFS-Plus™ database from triangles stored elsewhere or unit record transactional data is also seamless and effortless using COM scripts.


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!


Click here to view an powerpoint presentation overview (about 14Mb) of ICRFS-Plus™


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.


In respect of Solvency II Capital Requirements (SCR), Market Value Margins (Risk Margins) and Technical Provisions (Fair Value of Liabilities), for the aggregate of multiple LOBs, video chapter 5 provides Insureware's solution to the one year risk horizon.


View the videos below to experience the numerous unique benefits and applications afforded by a unique paradigm shift.


Some of the (real) case studies modelled in the videos are also discussed briefly in the ICRFS-Plus™ brochure.


These videos are arranged in logical order so it is important that you view them that way.


If for any reason you are unable to view the training or demonstration videos, please contact our support staff at support@insureware.com and we will arrange to send you a copy of the videos on CD-ROM. You will be able to run the videos from the CD.


Table of Contents

1. Introduction to ICRFS-Plus™

    2. Applications of the PTF and ELRF modelling frameworks

      3. The MPTF modelling framework

        4. Capital Management of all long tail liabilities

          5. Solvency II one year risk horizon: SCR, Best Estimate of Liabilities (BEL), Technical Provisions (TP), and Market Value (Risk) Margins (MVM) for the aggregate of long-tail LOBs

            6. Reports

              7. Schedule P

                8. Importing data into ICRFS-Plus and COM Automation

                  9. Additional applications of ICRFS-Plus™

                  10. Bootstrap: how it shows the Mack method doesn't work

                    9. Additional applications of ICRFS-Plus™

                    9.1 Pricing high layers (low frequency/high severity) and relationships between gross and net of reinsurance data.

                    The findings in this chapter corroborate some of the surprising findings in chapter 3. This should have a major impact on reinsurance programs for long tail liabilities.


                    Using real life data it is shown how to price higher layers even though the triangles for the higher layers are replete with zeros.


                    A composite model is designed for the layered composite data set Lim 0.5M, Lim 1M,..., Lim 4M and Groundup. Both process correlations and parameter correlations between the layers are very high. These induce high correlations in predicted lognormals between the cells in any two layers.


                    To price a layer such as 1Mxs1M, for example, the differences of the simulated values for Lim 2M and Lim 1M are used that incorporates a strong covariance term between the two layers. It is found that from the point of view of the cedant the coefficient of variation of net reserves is invariant with regard to attachment points and is almost the same as the coefficient of variation of the gross reserves. Accordingly, the percentage capital required above the mean to subscribe to a particular percentile is also invariant with attachment points.


                    Insureware's extensive database has many other examples of this phenomenon.


                    Therefore, there is much empirical evidence to suggest that excess of loss (on individual losses) is not capital efficient for a cedant.


                    Chapter 3 considered an example where it was shown that the coefficient of variation of net reserves is the same as the coefficient of variation of gross reserves.


                    Two further real life examples are given here. The net of reinsurance and gross data are modeled in the MPTF modelling framework. The composite models include the high process and parameter correlation between the two triangles.



                    For additional information on ICRFS-Plus™ features - click here.


                    Solvency II Capital requirements for each LOB and the aggregate of all LOBs are only met by ICRFS-Plus™ in a sound statistical framework.