Casualty Actuarial Society

Stochastic Capital Models and Capital Management, Springboards and Sinkholes for P & C Companies

Tuesday, August 6, 2013: 6:00 a.m.
Why is the rest of the world happily running down the internal stochastic capital model path? Are they mis-guided or do they know something that the US is ignoring? What does a stochastic model look like? What does it capture and what does it not capture? How do you use it to determine capital? Is that all that it does?

These are some of the questions that will be discussed during an upcoming webinar. Initially concentrating on the mechanics of a stochastic model, the webinar will branch out to discuss practical implications of the model, what is important to the end product and what can be ignored. From there the balance of the webinar will be focused on the strengths and weaknesses of stochastic models – the sinkholes (i.e., things the models will never be able to do) and springboards (how to deploy model results, gauge potential actions, etc).

The information in this presentation is being drawn from experience in building, using and deploying models as a corporate actuary, working with clients performing the same actions as a consulting actuary, and from close observations of model development and deployment in the non-US market.

The aim of the talk is to give audience members of various experience levels and backgrounds a fuller understanding of the innards and the downstream uses of stochastic model, their strengths and weaknesses, and how to leverage value from your investment.

Speaker: Timothy Pratt, Chief Actuary, Liberty International Underwriters
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