Actuarial Outpost
 
Go Back   Actuarial Outpost > Actuarial Discussion Forum > Risk Management
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

Salary Surveys
Property & Casualty, Life, Health & Pension

Health Actuary Jobs
Insurance & Consulting jobs for Students, Associates & Fellows

Actuarial Recruitment
Visit DW Simpson's website for more info.
www.dwsimpson.com/about

Casualty Jobs
Property & Casualty jobs for Students, Associates & Fellows


Reply
 
Thread Tools Search this Thread Display Modes
  #21  
Old 08-10-2018, 07:12 PM
IANAE IANAE is offline
Member
CAS AAA
 
Join Date: Oct 2017
Posts: 162
Default

RBC is cookbook and - beyond the theory behind its construction - well-documented in NAIC and accounting literature.

Have you considered getting a reference copy of authoritative guidance (vs seeking guidance in an online forum)?

Last edited by IANAE; 08-11-2018 at 09:59 AM..
Reply With Quote
  #22  
Old 08-11-2018, 11:06 AM
ronaldy27's Avatar
ronaldy27 ronaldy27 is offline
Member
CAS
 
Join Date: Jan 2012
Location: 'Murica
Studying for the credential
Posts: 3,046
Default

I went through the RBC instruction as well as the one of the required text (odomirk or something) for exam 6.

Not clear enough there but thanks. I got my answer from one of the actuaries in my company.
I needed an answer quick so I asked here as well while waiting for a response from the coworker.
__________________
Spoiler - for size:



Reply With Quote
  #23  
Old 09-12-2018, 10:52 AM
DeepPurple's Avatar
DeepPurple DeepPurple is offline
Member
 
Join Date: Jun 2004
Posts: 4,151
Default

Quote:
Originally Posted by ronaldy27 View Post
I asked this in the exam 6 thread but I think it'd be more appropriate here.

I'm currently working on creating an RBC model and I was just wondering which component (R0 - R5), tend to be the biggest contributor to lowering the RBC score? I mean, which component could easily lead to the lower RBC?

Is it R5 (underwriting risk - premium) since companies can write more business easily than, let's say, have more unaffiliated bonds or stocks?



Thanks in advance.
I'm curious as to what answer you got from your colleague. I would have indicated underwriting risk if the company leans toward more property, and reserve risk if the company has more casualty. The other risk factors, even collectively, are generally less relevant than these two. The covariance adjustment to U/W and Resv risk is likely larger than the other risk factors. ( I don't have the R numbers memorized, and I'm not going to look them up.)

Reserve risk tends to be less for property because the average payout is (much) shorter than casualty. Raising reserves is a double whammy: first it reduces surplus so the denominator of the ratio is smaller; secondly more reserves call for more risk margin.
__________________
Come on. Let's go space truckin'. Come on!
Reply With Quote
  #24  
Old 09-13-2018, 10:39 AM
ronaldy27's Avatar
ronaldy27 ronaldy27 is offline
Member
CAS
 
Join Date: Jan 2012
Location: 'Murica
Studying for the credential
Posts: 3,046
Default

Quote:
Originally Posted by DeepPurple View Post
I'm curious as to what answer you got from your colleague. I would have indicated underwriting risk if the company leans toward more property, and reserve risk if the company has more casualty. The other risk factors, even collectively, are generally less relevant than these two. The covariance adjustment to U/W and Resv risk is likely larger than the other risk factors. ( I don't have the R numbers memorized, and I'm not going to look them up.)

Reserve risk tends to be less for property because the average payout is (much) shorter than casualty. Raising reserves is a double whammy: first it reduces surplus so the denominator of the ratio is smaller; secondly more reserves call for more risk margin.
The part where I had to ask a colleague was for determining the correct "group-level" GWP needed to calculate the risk charge for "excessive premium growth."

As for what you're wondering, someone mentioned here that the relative contribution to the total RBC between R4 and R5 depends on whether you're a commercial or personal writer.

IIRC, commercial tends to have a bigger factor from reserve risk while personal tends to have more coming from premium written risk.

I think there are other factors to consider so this isn't always true.
__________________
Spoiler - for size:



Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 12:16 AM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.30976 seconds with 11 queries