GISMO - General Insurance Stochastic Model Office. Short term modelling for management decisions

Document description

GISMO is a stochastic insurance cash flow model implemented as an Excel 5 spreadsheet. It is intended to provide managers with useful information on the quality, or likely variability, of the key financial figures in their plans and enable them to gauge the impact on these figures from changes in, say, asset mix or catastrophe reinsurance protection. GISMO incorporates an economic model which allows for 'jumps' in the values of the underlying indices. This is a pre-requisite, in our view, in any attempt to model the financial strength of a general insurer. It provides a consistent economic framework for valuing assets and liabilities. It has an option to model the impact of catastrophe type losses both gross and net of a specified amount of traditional catastrophe excess of loss reinsurance.