From Principle-Based Risk Management to Solvency ... - Scor

3.2.4 New Business, Prior-Year Business, and Run-Off BusinessModels........................
54
3.3StochasticModelforNewBusiness............... 56
3.3.1 Data Requirements and Parameters for New Business 58
3.3.2 Dependency Structure and Aggregation for New Business
............................ 59
3.3.3One-YearChangesforNewBusiness.......... 62
3.4 Treaty Pricing Models for New Business . . .......... 63
3.4.1 Proportional Pricing . . ................. 66
3.4.2 Non-Proportional and Large-Loss Pricing Model . . . 68
3.4.3 Non-Proportional Experience Pricing .......... 69
3.4.4 Standard Exposure Pricing . . . . . .......... 70
3.4.5 Calculating the Treaty NPV Distribution . . . . . . . 71
3.5 Exposure Pricing for Aviation . ................. 74
3.5.1AviationMarketModel ................. 75
3.6 Credit and Surety Exposure Pricing . . . . .......... 76
3.6.1 Data Requirements . . . ................. 76
3.6.2LossModel ........................ 76
3.7CreditandSuretyOutlook:PortfolioModel.......... 78
3.7.1 Modeling Approach . . ................. 78
3.7.2IdentificationoftheRisks................ 78
3.7.3 Estimation of the True Exposure per Risk . . . . . . . 79
3.7.4Simulation ........................ 80
3.8 Natural Catastrophe Modeling ................. 80
3.8.1GeneralApproach .................... 80
3.8.2HazardModule...................... 84
3.8.3 Geographic Value Distribution Module . . . . . . . . . 87
3.8.4 Vulnerability Module . . ................. 88
3.8.5FinancialModule..................... 89
3.8.6 SCOR Switzerland’s Model Landscape . . . . . . . . . 89
3.9StochasticModelforRun-OffBusiness............. 91
3.9.1 Development Triangles, Chain Ladder, Mack Method . 93
3.9.2 The One-Year Change for the Run-Off Business . . . . 97
3.9.3 Projection to Future One-Year Changes . . . . . . . . 98
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