About This Event
This talk will describe different approaches to measuring and modeling underwriting risk, based on US statutory data. It will show that for some lines there is more uncertainty in premiums than there is in losses. It will analyze the underwriting cycle using a unique time series back to 1923. This identifies three distinct periods, the latest starting with the 1986 hard market. Then, it will analyze the dynamics of loss, premium and loss ratio by major line grouping since 1992. The relative significance of premium and loss variability is a characteristic of each line, and in some, premiums are more uncertain than losses. The talk with conclude by discussing applications of the findings to pricing, portfolio optimization, ERM and capital modeling.