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Old 01-02-2020, 03:42 PM
leezard leezard is offline
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Default NAIC RBC rough percentile, VaR, etc.?

Anyone with experience in RBC (I'm in P&C but all areas welcome) have an opinion on what NAIC RBC roughly translates to as a percentile, VaR etc. and what timeframe? My initial thoughts:
- Reserve and premium industry charges are based on 87.5 percentile of industry data.
- A lot of the calculations involve 10 year histories, probably because of what's available in Schedule P.
- New-ish 2017 cat risk charge uses modeled 1-in-100 risk for EQ and HUR (square-root-ruled together)
- Based on all of above, my guesstimate is that RBC is a 1-in-100 risk on 1-year timeframe.

There must be explicit discussion somewhere I haven't found that spells out the intent more clearly.
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Old 01-02-2020, 03:56 PM
PAC PAC is offline
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Default

P/C RBC Conceptual Framework

P/C Report on RBC Covariance

Feldblum-CAS Proceedings Paper on RBC
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naic, rbc, risk-based capital

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