Brainscape's Knowledge GenomeTM

Browse over 1 million classes created by top students, professors, publishers, and experts.


See full index

CAS Exam 7 > Marshall > Flashcards

Marshall Flashcards

1
Q

Example of external systemic risk

A

material/labor cost trends

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

Components of independent risk (2)

A
  1. random component of parameter risk

2. random component of process risk

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

Quantitative techniques are best for measuring these risk sources (2)

A
  1. independent risk

2. past sources of external systemic risk

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

Reasons quantitative modeling techniques do not capture all sources of uncertainty (3)

A
  1. good models fit past data well (often fit away past external systemic risk, leaving only random sources)
  2. outcome may be substantially affected by past episodes of systemic risk (representative of future?)
  3. highly unlikely to capture any internal systemic risk
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
5
Q

Sources of internal systemic risk (3)

A
  1. specification error (inability to perfectly model insurance process)
  2. parameter selection error (cannot adequately measure all predictors)
  3. data error
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
6
Q

Risk indicators for balanced scorecard assessment of specification error (5)

A
  1. # of models used
  2. range of results
  3. reasonability checks conducted
  4. subjective adjustments required
  5. extent of monitoring and review
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
7
Q

Risk indicators for balanced scorecard assessment of parameter selection error (6)

A
  1. ability to identify and use predictors
  2. extend predictors lead vs. lag claim costs
  3. subjective adjustments required
  4. ability to detect trends
  5. stability
  6. uncertainty in superimposed inflation
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
8
Q

Risk indicators for balanced scorecard assessment of data error (4)

A
  1. extent, timeliness, and reliability of info from business
  2. access to data
  3. quality of reconciliations
  4. extent of revisions to past data
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
9
Q

External systemic risk categories (7)

A
  1. economic and social
  2. legislative, political, and claims inflation
  3. claim mgmt process change
  4. expense
  5. event
  6. latent claim
  7. recovery
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
10
Q

Examples of economic and social external systemic risk (4)

A
  1. inflation (AWE/CPI)
  2. economic conditions (unemployment)
  3. fuel prices
  4. driving patterns
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
11
Q

Examples of long-tailed legislative, political, and claims inflation external systemic risks (4)

A
  1. precedent setting in courts
  2. changes in medical costs
  3. changes in legal costs
  4. shifts in large claim frequency or severity
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
12
Q

Example of short-tailed legislative, political, and claims inflation external systemic risk

A

claims inflation increasing at a different rate from ACE

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
13
Q

Examples of claim management process change external systemic risk (3)

A
  1. reporting/payment patterns
  2. re-opening rates
  3. case reserve handling changes
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
14
Q

Expense risk (external systemic risk)

A

uncertainty associated with cost of managing run-off of liabilities or maintenance of unexpired risk

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
15
Q

Correlation w/in and b/w valuation classes

A

independent risk - uncorrelated w/any other source
internal systemic risk - uncorrelated w/each other source, but has correlation b/w valuation classes or OCL/PL
external systemic risk - uncorrelated w/each other source, but may have correlation b/w similar external systemic risk categories

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
16
Q

Overall COV

A

= sqrt( ind COV^2 + int COV^2 + ext COV^2)

17
Q

Risk margin for normal distribution

A

risk margin = Z * overall COV

Z= z-value for percentile of a normal distribution under a given probability of adequacy

18
Q

Risk margin for lognormal distribution

A

risk margin = (e^(mu + z*sigma) / sum of weights) - 1

19
Q

Types of reasonability checks (6)

A
  1. sensitivity analysis
  2. scenario testing
  3. internal benchmarking
  4. external benchmarking
  5. hindsight analysis
  6. mechanical hindsight analysis
20
Q

Main dimensions for benchmarking (2)

A
  1. portfolio size

2. tail length

21
Q

Independent risk benchmarking for OCLs (tail length and portfolio size)

A

long-tail COV > short-tail COV

small portfolio COV > large portfolio COV

22
Q

Independent risk benchmarking for PLs vs. OCLs (tail length)

A

long-tail: PL COV > OCL COV

short-tail: OCL COV > PL COV

23
Q

Benchmarking for internal and external systemic risk (tail length)

A

long-tail COV > short-tail COV

CAS Exam 7 (21 decks)

Brainscape helps you reach your goals faster, through stronger study habits.
© 2024 Bold Learning Solutions. Terms and Conditions