At the request of the American Academy of Actuaries, the CAS formed the Risk-Based Capital (RBC) Underwriting Risk Working Party (URWP) to research the current RBC formula for measuring underwriting risk and the procedures for calibrating the formula’s parameters (the Current Calibration Method). The research unveiled various accuracy and consistency issues with the Current Calibration Method. Some alternatives are investigated and areas of further research are suggested, including volume of data, data filtering, curve fitting, the investment income offsets (IIO) discount rate, time horizon, and the relative impact of premium and reserve charges by line. This paper presents results of the URWP’s short-term charge.
Source
Casualty Actuarial Society
Length of Resource
60 pages
Resource File
Date Published
Publication Type
paper
Resource Type
academic