This paper will report on 2011- 2013 research by Casualty Actuarial Society (CAS) Risk Based Capital (RBC) working parties.  The work is based on a 23 accident year/3000 company “Schedule P” database by line of business.

The issues addressed by the research include:

(a)    Calibration of nonlife underwriting risk charges, including effects of :

1. Risk by premium/reserve size;
2. Effect of expense ratio variability on loss ratio variability premium risk measures;
3. Differences in risk measures by type of company (within line of business), e.g., standard/non-standard auto, professional reinsurer/others writing reinsurance, personal line specialists, commercial lines specialties, etc.
4. Years of experience of company (new vs. old)

(b)   Comparison of solvency II underwriting risk calibration approach to alternatives when applied to this US data.

(c)    Dependency between lines of business and between premium and reserve risk based on analysis of copula structure of dependency between lines of business, adjusted for effect size.

(d)   Comparison of Solvency II treatment to US RBC treatment of risk for a property casualty company.

(e)   Analysis of effect of concentration (size/geography), reinsurance usage and size on historical insolvency rates.

(f)     New theory, and implications, on connecting the selection of target risk level (e.g., 99.5% VaR) to financial and risk principles.

The component research papers for this research will have been published in the CAS E:Forum by the end of 2013 and as such will be available (I believe) through the CAS website to Congress participants.  The purpose of the presentation at the Congress the will be to (a) bring together the component research elements and (b) promote a discussion of the implications of this research for regulatory standard formulas, ORSA assessment and ERM analysis of non-life insurance companies.