Prism’s Approach to Modeling Natural Catastrophe Risk. Casualty Actuarial Society November 12, 2007 Mark Rouck, CPA, CFA. Topics. Background on Prism . Prism’s Catastrophe Risk Component. What Does it Mean for Ratings? . Topics. Background on Prism. Prism’s Catastrophe Risk Component.
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Casualty Actuarial Society
November 12, 2007
Mark Rouck, CPA, CFA
Background on Prism
Prism’s Catastrophe Risk Component
What Does it Mean for Ratings?
with “cure” period
Late 06-Early 07
2nd QUARTER, 2006
PRIOR TO 2006The Road to Implementation US: November 2007
Each Company will potentially have unique risk curvesModeling Methods – Risk Elements Captured
Simulation calculates PV of cash inflows and outflows over 30 year balance sheet run-off (with one year of new business)
Prism Score is point where AC intersects RC
Defined by Balance Sheet Assessment
Defined by Model Results
Limited (~10% of group’s reviewed) Prism related rating actions
Certain sectors performed better than expected e.g. personal autoPrism: 2006 US Non-Life Results
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