64-C
Addressing Key Issues of Catastrophe Modelling Leading to Misspecification and Instability of Internal Capital Models
Wednesday, April 2, 2014: 9:30 a.m.
Maryland Suite AB (Washington Marriott Wardman Park)
This paper addresses uncertainty in vendor catastrophe model outputs and instability of modelled cat event losses as follows:
- It introduces a statistical approach to quantifying model uncertainty and allowing for it in the key statistical outputs of vendor catastrophe models before they are further used in the internal capital model;
- It considers the use of multiple vendor models as the mean of mitigation of model uncertainty; and
- It introduces a simulation approach to simulating actual cat events that significantly reduces sampling error. .
Presentation 1
See more of: 64: Model Risk in Reserving and Catastrophe Modeling
See more of: Conference Program: Tracks
See more of: Conference Program: Tracks
