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Casualty Actuarial Society
Dynamic Risk Modeling Web SiteMaintained by the Committee on Dynamic Risk Modeling
Index
- Research Working Parties
- DRM Research Handbook
- Actuarial Models Sponsored by the Casualty Actuarial Society
- Research Sponsored by the Casualty Actuarial Society
- Call Paper Programs
- Seminar Material
- Articles from the Actuarial Review
- Articles from Contingencies magazine
- Data Access and Sources of Information
Research Working Parties
- DRM Handbook Working Party – Chapters 6 and 7
- Working Party on Executive Level Decision Making Using DRM
- Working Party on the Public-Access DFA Model
• Dynamo - Loss Simulation Model Working Party
DRM Research Handbook
A new version of the DRM Handbook has been developed by the Working Party on the Dynamic Risk Modeling Handbook. The completed chapters of the new handbook are available below.
Updated: 18 January 2012
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Download Complete Handbook
- Preface
- Chapter 1 - Introduction
- Chapter 2 - Overview of DRM Process
- Chapter 3 - Strategies
- Chapter 4 - Scenarios
- Chapter 5 - Assets Modeling
- Chapter 6 - Price Modeling
- Chapter 7 - Reserve Modeling
- Chapter 8 - Performace & Risk Measure
- Chapter 9 - Measures of Risk
- Chapter 10 - Presentations of DRM Results
- Glossary of Terms
Actuarial Models Sponsored by the Casualty Actuarial Society
Research Papers Sponsored by the Casualty Actuarial Society
- Review and Comparison of Rating Agency Capital Models
2007 Spring Meeting Presentation - Dynamic Financial Models of Property-Casualty Insurers, Prepared by the CAS Committee on Dynamic Financial Analysis, February 2000
- DRM Handbook (1999)
- 1994 Request for Proposal: Compilation of Variables Necessary for Performing Dynamic Financial Analysis of Insurance Companies
- Dynamic Financial Models of Property/Casualty Insurers, Prepared by the Subcommittee on Dynamic Financial Models of the CAS Valuation and Financial Analysis Committee, September 1995
- Dynamic Financial Analysis Handbook, Prepared by the Subcommittee on the DFA Handbook of the CAS Valuation and Financial Analysis Committee
- Request for Proposals for the Creation of Public Loss Simulation Model(s)
Call Paper Programs
- 2009 Dynamic Risk Modeling Call for Papers
- 2003 Call for Papers on ERM and DFA Modeling
- 2002 Call for Dynamic Financial Analysis Papers
- 2001 DFA Call Papers - Dynamic Financial Analysis, A Case Study
- 2000 DFA Call Papers - Dynamic Financial Analysis - Evaluation of Strategic Alternatives and Presentation of Conclusions
- 1999 DFA Call Papers - Dynamic Financial Analysis Parameterizing Models
- 1998 DFA Call Papers - Dynamic Financial Analysis - Applications and Uses
- 1997 DFA Call Papers - Sponsored by the Dynamic Financial Analysis Task Force on Variables
- 1996 DFA Call Papers - Dynamic Financial Models of Property/Casualty Insurers
- 1995 DFA Discussion Papers - Incorporating Risk Factors in Dynamic Financial Analysis
Seminar Material
- 2009 Dynamic Risk Modeling Call for Papers
- 2003 Call for Papers on ERM and DFA Modeling
- 2002 Call for Dynamic Financial Analysis Papers
- 2001 DFA Call Papers - Dynamic Financial Analysis, A Case Study
- 2000 DFA Call Papers - Dynamic Financial Analysis - Evaluation of Strategic Alternatives and Presentation of Conclusions
- 1999 DFA Call Papers - Dynamic Financial Analysis Parameterizing Models
- 1998 DFA Call Papers - Dynamic Financial Analysis - Applications and Uses
- 1997 DFA Call Papers - Sponsored by the Dynamic Financial Analysis Task Force on Variables
- 1996 DFA Call Papers - Dynamic Financial Models of Property/Casualty Insurers
- 1995 DFA Discussion Papers - Incorporating Risk Factors in Dynamic Financial Analysis
- 2007 Enterprise Risk Management Symposium
- 2006 Enterprise Risk Management Symposium
- 2005 Enterprise Risk Management Symposium
- 2004 Enterprise Risk Management Symposium
- 2003 Risk and Capital Management Seminar
Articles from the Actuarial Review
- How DFA Can Help the Property/Casualty Industry, Part 1 - Definition of DFA and Why it is Important
- How DFA Can Help the Property/Casualty Industry, Part 2 - DFA as Related to Pricing
- How DFA Can Help the Property/Casualty Industry, Part 3 - DFA-style Reserve Analysis
- How DFA Can Help the Property/Casualty Industry, Part 4 - Reinsurance
- How DFA Can Help the Property/Casualty Industry, Part 5 - The Annual Statement Does Not Start On Page 3!
- How DFA Can Help the Property/Casualty Industry, Part 6 - DFA—A Capital Idea
- Setting Capital Requirements With Coherent Measures of Risk- Part 1
- Setting Capital Requirements With Coherent Measures of Risk- Part 2
- DFA Committee Changes Its Name to the Dynamic Risk Modeling Committee
Articles from Contingencies magazine
- When You're Not Preaching to the Choir: Presenting DFA Results
- Building a DFA Model that Flies, by D'Arcy, Gorvett, Herbers and Hettinger, Contingencies, Nov/Dec 1997.
- William Scheel's DFA workbooks
Data Access and Sources of Information
- UK Working Parties
A list of ongoing Working Parties in the UK and the research they are involved with. - Sample NAIC Data Available for Download
From this page, you can download two datasets that contain spreadsheets for a large number of selected pages of the NAIC Annual Statement for 25 insurers. - ISO Database
This spreadsheet contains 5000 commercial liability claims taken from the ISO Statistical Database.
Excel file, 1.29 MB - NCCI Information
This spreadsheet along with the accompanying documentation provides empirical claim severity distributions derived from the data of a single state. These distributions are used in developing the NCCI's excess loss premium factors.
Download Spreadsheet - Excel file, 19 KB
Download Documentation - PDF file, 858 KB -
Massachusetts Cash Flows
1998 Private Passenger Automobile Cash Flows—Physical Damage Coverages
1998 Private Passenger Automobile Cash Flows—Property Damage Liablity Coverages
1998 Private Passenger Automobile Cash Flows—Bodily Injury Coverages
1998 Private Passenger Automobile Bodily Injury Liability Cash Flow Distributions, Table 1
1998 Private Passenger Automobile Bodily Injury Liability Cash Flow Distributions, Table 2
- Insurance Industry Data -- From A. M. Best, ISO, OneSource, NAIC, and NCCI.
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Important Dates
02/09/2012
Arriving at a Loss Ratio for Commercial Umbrella Web-Conference
03/01/2012
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03/04/2012
Enterprise Risk Management and Modeling Seminar for CERA Qualification
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