ERM-712-16: Catastrophe Modelling: Guidance for Non-Catastrophe Modellers


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Reading Source: http://www.lmalloyds.com/AsiCommon/Controls/BSA/Downloader.aspx?iDocumentStorageKey=69c71470-c34b-4454-b635-d28949f6bff6&iFileTypeCode=PDF&iFileName=Catastrophe%20Modelling%20-%20Guidance%20for%20Non-Catastrophe%20Modellers

Topics Covered in this Reading:

  • Introduction
  • Use of Cat Modelling
  • Cat Modelling Practice
    • Different Components of a Cat Model
  • Cat Modelling Terminology
    • EP Curve
    • OEP and an AEP Curve
    • VaR and TVaR
    • Event Loss Table (ELT)
    • Coefficients of Variants (CoV)
    • Difference between Near Term, Long Term, and Historical Rates
    • Difference between Ground Up, Gross, Net, and Final Net Loss
  • Frequently Asked Questions
    • Why is it that every time an event occurs I hear that it was not covered properly by the cat models
    • What is the impact of poor quality data on results
    • Why do I need aggregate if I have a model?
    • What is a 1 in 250 return period?
    • Why do 1 in 100 year losses happen every few years?
    • What is an n-year event?
    • Why can you not add up return period losses?
    • What is pure premium?
    • How can I still get a loss to a layer when the mean loss is less than the attachment point?
    • Why is the 10,000 year loss in RMS not the worst case loss for this account or portfolio?