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  #11  
Old 02-12-2018, 11:12 AM
snakeroberts snakeroberts is offline
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Quote:
Originally Posted by Corn Row View Post
That would be one hell of a basic model unless you're giving the well-rounded actuarial practitioner a number of years to create something from scratch. Off the top of my head they would need to develop a robust solution for complicated reinsurance treaties and structures, non traditional asset valuation (bonds with options) and more complicated traditional assets (structured products), all sorts of accounting knowledge, potentially including tax accounting, etc. They better be familiar with distributed computing techniques unless they want their model to take days or months to complete a simulation.

Sure, someone could use @Risk to create a small model with a few attritional and large loss sources of risk, attach a quota share or simple XoL and produce some output, but they would be a decade behind other technologies. I've seen plenty of Excel-type capital models and they are not adequate.
how about the copula structure and parameters for reserve risk, current year pricing risk? From my experience the most complicated was the ESG and valuing the assets mostly bonds as noted above.

Its a cost center as you noted, not adequate, too simple, yet, if it got more complicated, no one would use it since that would devolve into everyone trying to determine the "drivers" of results on one really understanding it. JMO
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Old 02-12-2018, 11:39 AM
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ronaldy27 ronaldy27 is offline
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From my experience, excel was useful for separately modelling (simple one) the parameters used in the ECM, but that's pretty much it.

Excel is great for being a supplemental tool for the big ECM software. Ofc, there are better alternatives.
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