Monday, April 26, 2010
The complex form of dynamic risk modeling for an entire insurance operation is commonly referred to as Dynamic Financial Analysis (DFA). Enterprise Risk Management (ERM) focuses on the wider aspect of market, credit, and operational risk of an organization. In the application of ERM to an insurance operation, DFA focuses on the modeling of insurance risks. While many excellent papers have been written on both ERM and DRM, the goal of the Working Party is to distill the essential technical aspects of creating a model into a cohesive document for the practicing actuary as well as the student of risk modeling. The DRM Handbook WP will write Chapters 6 and 7 on Price Modeling and Reserve Modeling and update the remaining chapters.
Thursday, April 15, 2010
Wednesday, April 14, 2010
Last year the Casualty Actuarial Society's Loss Simulation Model Working Party (LSMWP) , via the Dynamic Risk Modeling Committee, engaged a consulting firm to develop an open source simulation model of the processes of loss emergence and settlement, commonly known as loss development, that underlie the loss "triangles" and other statistics used to estimate unpaid claims. It has created a tool which is programmed in R and VB.NET that researchers could use to test loss reserving methods and models. The LSMWP will present the new model and the draft of its working party paper at the September Casualty Loss Reserve Seminar. The new open source model and paper will be uploaded to the CAS web site after this seminar.