The goal for our phase one ERM development is to be a powerful
underwriting decision making tool. The main achievements we have made are:
Completed the framework that creates various coverages
and policies dynamically under your finger click, making the
model foundation solid and flexible.
Completed the framework that generates reinsurance
treaties dynamically, covering wide range of line of businesses
with various ceding patterns.
Mirrored insurance company's underwriting structure to
reflect the comprehensive interactions of underwriting, pricing,
reserving and risk management.
Built complete simulation function that generates all
kinds of distributions for frequency, severity and loss ratio
based upon company’s own data.
Built copula to investigate multi risk correlations.
The illustration copula (limited for two variables for
illustration purpose) was published as an open resource.
We are still working on:
Incorporating investment strategy and investment risk.
Incorporating tax impact and tax strategy.
Finalizing the impact (profit and solvency) on financial statement (GAAP/SAP).
Again, feel free to download our Illustration Copula. You can use it to
perform correlation calculations, FFT, IFFT, to investigate
distributions, to create bivariate
copulas and do bivariate IC modeling etc.