investment presentation example 2003 cas research working party: executive level decision making...

Report

Tags:

Post on 12-Jan-2016

216 Views

Category:

Documents

0 Downloads

Preview:

Click to see full reader

TRANSCRIPT

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

hart

C++

wireless

rede

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

InvestmentPresentation Example

2003 CAS Research Working Party:

Executive Level Decision Making using DFA

Michael R. Larsen, FCAS, MAAA

2003 CAS Research Working Party 55

Goals of Study

Review Reinvestment Options

Measure Results using Simulation Model Results

Risk as Average Loss in Surplus in Worst 1% of Cases over Five Years

Return as Average Increase in Policy Holder Surplus at End of Five Years

2003 CAS Research Working Party 56

44%

54%

0%0%2%

29%

44%

10%

15%

2%

29%

29%

25%

15%

2%

24%

24%

30%

20%

2%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Reinvestment Strategy

Cash 2% 2% 2% 2%

Common Stock Unaffiliated 0% 15% 15% 20%

Unaffiliated Bonds 0% 10% 25% 30%

Municipal 54% 44% 29% 24%

U.S. Govt Bond 44% 29% 29% 24%

Option A Option B Option C Option D

Change in Reinvestment Allocation

2003 CAS Research Working Party 57

DFA Flow

Work CompGrow 5% a year

Multi_PerilGrow 5% a year

FinancialCalculator

Starting Policy Holder Surplus 40,000

Corporate Elements

Reinsurance Investment

Capital Mix Taxes

Financial Results

Simulated over Five Years

Analyze Results

Measures of

•Risk•Return Change in Policy

Holder Surplus

2003 CAS Research Working Party 58

Model / Assumptions

Assumptions Behind

Simulation

Assume Underwriting Operations Not Affected• Ability to take rate changes not driven by investment results• Growth rates in exposure does not change

Investment Scenario• Long run average interest rate of 4% • Starting interest rate of 4%

Investment Models• Short term interest rate model is a mean reversion model• Long term rates are a function of short term rates• Stock returns modeled as a function of short term rates and interest rate changes• Stable relationship between bond and equity market

2003 CAS Research Working Party 59

Policyholder Surplus Change by Reinvestment Option

Option A

0

0.04

0.08

0.12

0.16

0.2

0.24

0.28

0.32

0.36

0.4

-40 -30 -20 -10 0 10 20 30 40

Mil

Pro

babi

lity

0

0.2

0.4

0.6

0.8

1

pdf cdf

Option B

0

0.04

0.08

0.12

0.16

0.2

0.24

0.28

0.32

0.36

0.4

-40 -30 -20 -10 0 10 20 30 40

Mil

Pro

babi

lity

0

0.2

0.4

0.6

0.8

1

pdf cdf

Option C

0

0.04

0.08

0.12

0.16

0.2

0.24

0.28

0.32

0.36

0.4

-40 -30 -20 -10 0 10 20 30 40

Mil

Pro

babi

lity

0

0.2

0.4

0.6

0.8

1

pdf cdf

Option D

0

0.04

0.08

0.12

0.16

0.2

0.24

0.28

0.32

0.36

0.4

-40 -30 -20 -10 0 10 20 30 40

Mil

Pro

babi

lity

0

0.2

0.4

0.6

0.8

1

pdf cdf

2003 CAS Research Working Party 60

Option A(10 - 90 percentiles)

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

2004 2005 2006 2007 2008

Thou

sand

s

Surplus Change Over Time by Investment Option

Option B(10 - 90 percentiles)

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

2004 2005 2006 2007 2008

Thou

sand

s

Option C(10 - 90 percentiles)

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

2004 2005 2006 2007 2008

Thou

sand

s

Option D(10 - 90 percentiles)

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

2004 2005 2006 2007 2008

Thou

sand

s

2003 CAS Research Working Party 61

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 62

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 63

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 64

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 65

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 66

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 67

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 68

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 69

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 70

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 71

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 72

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 73

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 74

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 75

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 76

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 77

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 78

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 79

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 80

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 81

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 82

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 83

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 84

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 85

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 86

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 87

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 88

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 89

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 90

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 91

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 92

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 93

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 94

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 95

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 96

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 97

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 98

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 99

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 100

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 101

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 102

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 103

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 104

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 105

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 106

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 107

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 108

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 109

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 110

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 111

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 112

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 113

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 114

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 115

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 116

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 117

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 118

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 119

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 120

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 121

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 122

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 123

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 124

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 125

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 126

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 127

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 128

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 129

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 130

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 131

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 132

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 133

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 134

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 135

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 136

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 137

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 138

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 139

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 140

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 141

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 142

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 143

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 144

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 145

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 146

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 147

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 148

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 149

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 150

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 151

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 152

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 153

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 154

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 155

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 156

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 157

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 158

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 159

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 160

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 161

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 162

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 163

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 164

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 165

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 166

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 167

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 168

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 169

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 170

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 171

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 172

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 173

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 174

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

2003 CAS Research Working Party 175

Risk-Reward

10

11

12

13

14

15

16

17

18

19

20

10 11 12 13 14 15 16 17 18 19 20

Th

ou

san

ds

Thousands

Average Surplus Loss in Worst Case

Ave

rag

e S

urp

lus

Gai

n

Option A

Option B

Option C

Option D

Investment Option Comparison

Better

Option D Highest Return Less Risk

top related

blowing through the range 2014 clrs presentation · blowing...
Documents
800.364.2468 :: brintoneaton.com integrated portfolio risk...
Documents
case mar 24, 2015 richard fein, phd, fcas, maaa rif...
Documents
james b. kahn, fcas, maaa care special interest limited...
Documents
survey of external data possibilities for commercial … 11,...
Documents
irs/actuary actuary’s perspective by alan e. kaliski,...
Documents
© deloitte consulting, 2004 alternatives to credit scoring...
Documents
kurt s. dickmann, fcas, maaa and james r. merz, fcas, maaa
Documents
cas ratemaking seminar non medical professional liability...
Documents
construction defects september 13, 2005 casualty loss...
Documents
casualty actuarial society 2002 spring meeting c18: umbrella...
Documents
© deloitte consulting, 2004 predictive modeling for...
Documents
reconciliation and the opining actuary wendy germani, fcas...
Documents
reserve uncertainty 1999 clrs by roger m. hayne, fcas, maaa...
Documents
modeling and estimating parameter uncertainty 1999 dfa...
Documents
cheng-sheng peter wu, fcas, maaa, and james c. guszcza, acas
Documents
© deloitte consulting, 2004 loss reserving using...
Documents
1 does credit score really help explain insurance losses?...
Documents
©towers perrin michael e. angelina, acas, maaa kevin f....
Documents
workers compensation large deductible issues matt hayden,...
Documents