ERM-713-16: Stochastic Modelling of Catastrophe Risks in DFA Models


Reading Source:

Topics Covered in this Reading:

  • Introduction
  • Modelling Catastrophe Risk in DFA Models
  • Catastrophe Risk Modelling Based on Natural Risk Models
    • Model Setup
    • General Simulation Approach
    • Dealing with Multiple Lines of Business
  • Mathematical Statistical Approaches
    • Model Setup
    • Advantages and Disadvantages of Both Approaches
  • Risk Capital Calculation and Outlook
    • Outlook