Resilient Risk Management
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Transcript of Resilient Risk Management
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RESILIENT RISK MANAGEMENT
Claire Souch, PhD VP, Model Solutions
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©2013 Risk Management Solutions, Inc.
MODELING CHALLENGES
• Too many
surprises
• Can’t control key assumptions
• Lack of insight into drivers of risk
• Doesn’t facilitate understanding by all
PORTFOLIO MANAGEMENT UNDERWRITING OPERATIONS MODELS
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MODELS IMPROVE OVER TIME, BUT UNCERTAINTY REMAINS
uncertainty
250 yr. loss
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HOW RESILIENT ARE YOU?
Maximize return -
optimize to top of a
pinnacle?
Minimise regret - search out stable
plateaus?
Will I fall off a cliff?
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THE MARKET IS CALLING FOR A NEW PARADIGM
In the RMS development of catastrophe models, which explicitly acknowledges that
CATASTROPHE RISK IS CHARACTERIZED BY DEEP UNCERTAINTY
LEARNING IS ON-GOING
ONE SIZE DOESNT ALWAYS FIT ALL
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THE MARKET IS CALLING FOR A NEW PARADIGM
UNDERSTANDING IMPLIED BETS
ADAPT QUICKLY TO NEW INFORMATION
OWNING A VIEW OF RISK
In the Client understanding and use of cat models
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THE PATHS TO RESILIENT RISK MANAGEMENT
UNDER- STANDING IMPLIED BETS
OWNING THE VIEW OF RISK
ADAPTING TO ONGOING LEARNING
DIAGNOSTIC VIEWS AND SENSITIVITY TESTS
ADJUSTMENTS ALTERNATIVES OPEN PLATFORM
POST EVENT, INTERIM VIEWS, OWN EXPERIENCE
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RMS – PROVIDING INDUSTRY REFERENCE VIEW
Build world-class (and increasingly
transparent) models with an
official RMS reference point
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PROVISION MULTIPLE VIEWS… IN A SINGLE, FAST, AUDITABLE PLATFORM
RMS REFERENCE
DIAGNOSTIC
ADJUSTED
ALTERNATIVE
YOUR OWN
“There is no single correct approach”
ABI Industry Good Practice for Catastrophe Modeling, Dec 2011
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OPEN MODELING = ACCESS TO MODEL COMPONENTS
EXPOSURE
LOSS
PLA
RATES
VULNERABILITY
HAZARD
CONDUCT SENSITIVITY TESTS LEVERAGE YOUR OWN CLAIMS DATA AND RESEARCH GAIN COMPETITIVE ADVANTAGE MAINTAIN AN AUDIT TRAIL
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UTILISE MULTIPLE MODELS
COMPARE MODELS SIDE BY SIDE FILL GAPS IN THE RMS MODEL SUITE
RMS MODELS YOUR OWN MODELS
IMPORT RESULTS FROM OTHER MODELS
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BLEND MODEL RESULTS
BLEND RESULTS
CHOSE ONE MODEL OR BLEND MODEL RESULTS RMS(one) ENABLES YOUR BEST PRACTICE
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“Risk management, we believe, should be about lessening the impact of events
we don’t understand”
- Naseem Taleb, Harvard Business Review