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Uncertainty of 99.5th Percentile

There seems to be a wide variety of opinions from practitioners in the field of capital (and in the insurance industry more generally) as to the range of uncertainty of 99.5th percentile estimates in general insurance internal models for the purpose of capital setting. This working party will develop existing work in this area, seek to refine the estimates of uncertainty and consider the practical implications of this work.

Key objectives:

  • Gauge the level of confidence by practitioners of the 99.5th percentile and other statistics
  • Review, collate and develop existing work published in this area
  • Analyse market data in respect of industry variability of tail statistics
  • Investigate the impact of parameter uncertainty on tail statistics
  • Consider the practical implications of this working party’s findings, with a focus on prudential capital setting, and how the findings should be communicated
  • Liaise with related working parties as required
  • Findings relevant for other areas (such as tail-risk pricing) will also be summarised.

Outputs

2018

Chair Edward Tomman
Membership 10
Established 2017

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Contact Details

If you want more information about this research working party please contact the Communities Team.

professional.communities@actuaries.org.uk

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