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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
![Page 2: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/2.jpg)
InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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hart
C++
wireless
rede
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
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InvestmentPresentation Example
2003 CAS Research Working Party:
Executive Level Decision Making using DFA
Michael R. Larsen, FCAS, MAAA
![Page 55: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/55.jpg)
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
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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
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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
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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
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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
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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
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2003 CAS Research Working Party 61
Risk-Reward
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Average Surplus Loss in Worst Case
Ave
rag
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
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2003 CAS Research Working Party 62
Risk-Reward
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san
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Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 63: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/63.jpg)
2003 CAS Research Working Party 63
Risk-Reward
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san
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 64: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/64.jpg)
2003 CAS Research Working Party 64
Risk-Reward
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san
ds
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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
![Page 65: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/65.jpg)
2003 CAS Research Working Party 65
Risk-Reward
10
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10 11 12 13 14 15 16 17 18 19 20
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san
ds
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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
![Page 66: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/66.jpg)
2003 CAS Research Working Party 66
Risk-Reward
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10 11 12 13 14 15 16 17 18 19 20
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san
ds
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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
![Page 67: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/67.jpg)
2003 CAS Research Working Party 67
Risk-Reward
10
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10 11 12 13 14 15 16 17 18 19 20
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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
![Page 68: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/68.jpg)
2003 CAS Research Working Party 68
Risk-Reward
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10 11 12 13 14 15 16 17 18 19 20
Th
ou
san
ds
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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
![Page 69: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/69.jpg)
2003 CAS Research Working Party 69
Risk-Reward
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10 11 12 13 14 15 16 17 18 19 20
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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
![Page 70: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/70.jpg)
2003 CAS Research Working Party 70
Risk-Reward
10
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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
![Page 71: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/71.jpg)
2003 CAS Research Working Party 71
Risk-Reward
10
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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
![Page 72: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/72.jpg)
2003 CAS Research Working Party 72
Risk-Reward
10
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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
![Page 73: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/73.jpg)
2003 CAS Research Working Party 73
Risk-Reward
10
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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
![Page 74: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/74.jpg)
2003 CAS Research Working Party 74
Risk-Reward
10
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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
![Page 75: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/75.jpg)
2003 CAS Research Working Party 75
Risk-Reward
10
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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
![Page 76: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/76.jpg)
2003 CAS Research Working Party 76
Risk-Reward
10
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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
![Page 77: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/77.jpg)
2003 CAS Research Working Party 77
Risk-Reward
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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
![Page 78: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/78.jpg)
2003 CAS Research Working Party 78
Risk-Reward
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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
![Page 79: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/79.jpg)
2003 CAS Research Working Party 79
Risk-Reward
10
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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
![Page 80: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/80.jpg)
2003 CAS Research Working Party 80
Risk-Reward
10
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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
![Page 81: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/81.jpg)
2003 CAS Research Working Party 81
Risk-Reward
10
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16
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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
![Page 82: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/82.jpg)
2003 CAS Research Working Party 82
Risk-Reward
10
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16
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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
![Page 83: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/83.jpg)
2003 CAS Research Working Party 83
Risk-Reward
10
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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
![Page 84: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/84.jpg)
2003 CAS Research Working Party 84
Risk-Reward
10
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16
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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
![Page 85: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/85.jpg)
2003 CAS Research Working Party 85
Risk-Reward
10
11
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13
14
15
16
17
18
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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
![Page 86: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/86.jpg)
2003 CAS Research Working Party 86
Risk-Reward
10
11
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13
14
15
16
17
18
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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
![Page 87: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/87.jpg)
2003 CAS Research Working Party 87
Risk-Reward
10
11
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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
![Page 88: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/88.jpg)
2003 CAS Research Working Party 88
Risk-Reward
10
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14
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16
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18
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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
![Page 89: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/89.jpg)
2003 CAS Research Working Party 89
Risk-Reward
10
11
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14
15
16
17
18
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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
![Page 90: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/90.jpg)
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
![Page 91: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/91.jpg)
2003 CAS Research Working Party 91
Risk-Reward
10
11
12
13
14
15
16
17
18
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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
![Page 92: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/92.jpg)
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
![Page 93: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/93.jpg)
2003 CAS Research Working Party 93
Risk-Reward
10
11
12
13
14
15
16
17
18
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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
![Page 94: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/94.jpg)
2003 CAS Research Working Party 94
Risk-Reward
10
11
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14
15
16
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18
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20
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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
![Page 95: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/95.jpg)
2003 CAS Research Working Party 95
Risk-Reward
10
11
12
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14
15
16
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18
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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
![Page 96: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/96.jpg)
2003 CAS Research Working Party 96
Risk-Reward
10
11
12
13
14
15
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18
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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
![Page 97: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/97.jpg)
2003 CAS Research Working Party 97
Risk-Reward
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Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 98: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/98.jpg)
2003 CAS Research Working Party 98
Risk-Reward
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Option A
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Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 99: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/99.jpg)
2003 CAS Research Working Party 99
Risk-Reward
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Ave
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lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 100: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/100.jpg)
2003 CAS Research Working Party 100
Risk-Reward
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Option A
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Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 101: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/101.jpg)
2003 CAS Research Working Party 101
Risk-Reward
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lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 102: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/102.jpg)
2003 CAS Research Working Party 102
Risk-Reward
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 103: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/103.jpg)
2003 CAS Research Working Party 103
Risk-Reward
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lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 104: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/104.jpg)
2003 CAS Research Working Party 104
Risk-Reward
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lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 105: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/105.jpg)
2003 CAS Research Working Party 105
Risk-Reward
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Average Surplus Loss in Worst Case
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lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 106: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/106.jpg)
2003 CAS Research Working Party 106
Risk-Reward
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 107: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/107.jpg)
2003 CAS Research Working Party 107
Risk-Reward
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ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 108: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/108.jpg)
2003 CAS Research Working Party 108
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 109: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/109.jpg)
2003 CAS Research Working Party 109
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 110: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/110.jpg)
2003 CAS Research Working Party 110
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 111: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/111.jpg)
2003 CAS Research Working Party 111
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 112: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/112.jpg)
2003 CAS Research Working Party 112
Risk-Reward
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ds
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 113: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/113.jpg)
2003 CAS Research Working Party 113
Risk-Reward
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san
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 114: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/114.jpg)
2003 CAS Research Working Party 114
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 115: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/115.jpg)
2003 CAS Research Working Party 115
Risk-Reward
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 116: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/116.jpg)
2003 CAS Research Working Party 116
Risk-Reward
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 117: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/117.jpg)
2003 CAS Research Working Party 117
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 118: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/118.jpg)
2003 CAS Research Working Party 118
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
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rag
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urp
lus
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n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 119: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/119.jpg)
2003 CAS Research Working Party 119
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 120: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/120.jpg)
2003 CAS Research Working Party 120
Risk-Reward
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san
ds
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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
![Page 121: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/121.jpg)
2003 CAS Research Working Party 121
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 122: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/122.jpg)
2003 CAS Research Working Party 122
Risk-Reward
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san
ds
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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
![Page 123: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/123.jpg)
2003 CAS Research Working Party 123
Risk-Reward
10
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 124: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/124.jpg)
2003 CAS Research Working Party 124
Risk-Reward
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san
ds
Thousands
Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 125: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/125.jpg)
2003 CAS Research Working Party 125
Risk-Reward
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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
![Page 126: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/126.jpg)
2003 CAS Research Working Party 126
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 127: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/127.jpg)
2003 CAS Research Working Party 127
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 128: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/128.jpg)
2003 CAS Research Working Party 128
Risk-Reward
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ds
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Average Surplus Loss in Worst Case
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rag
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urp
lus
Gai
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 129: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/129.jpg)
2003 CAS Research Working Party 129
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 130: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/130.jpg)
2003 CAS Research Working Party 130
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 131: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/131.jpg)
2003 CAS Research Working Party 131
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 132: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/132.jpg)
2003 CAS Research Working Party 132
Risk-Reward
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san
ds
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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
![Page 133: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/133.jpg)
2003 CAS Research Working Party 133
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 134: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/134.jpg)
2003 CAS Research Working Party 134
Risk-Reward
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san
ds
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Ave
rag
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urp
lus
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Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 135: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/135.jpg)
2003 CAS Research Working Party 135
Risk-Reward
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san
ds
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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
![Page 136: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/136.jpg)
2003 CAS Research Working Party 136
Risk-Reward
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ou
san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 137: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/137.jpg)
2003 CAS Research Working Party 137
Risk-Reward
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san
ds
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Average Surplus Loss in Worst Case
Ave
rag
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urp
lus
Gai
n
Option A
Option B
Option C
Option D
Investment Option Comparison
Better
Option D Highest Return Less Risk
![Page 138: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/138.jpg)
2003 CAS Research Working Party 138
Risk-Reward
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san
ds
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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
![Page 139: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/139.jpg)
2003 CAS Research Working Party 139
Risk-Reward
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san
ds
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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
![Page 140: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/140.jpg)
2003 CAS Research Working Party 140
Risk-Reward
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ou
san
ds
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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
![Page 141: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/141.jpg)
2003 CAS Research Working Party 141
Risk-Reward
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ou
san
ds
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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
![Page 142: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/142.jpg)
2003 CAS Research Working Party 142
Risk-Reward
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ou
san
ds
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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
![Page 143: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/143.jpg)
2003 CAS Research Working Party 143
Risk-Reward
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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
![Page 144: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/144.jpg)
2003 CAS Research Working Party 144
Risk-Reward
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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
![Page 145: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/145.jpg)
2003 CAS Research Working Party 145
Risk-Reward
10
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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
![Page 146: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/146.jpg)
2003 CAS Research Working Party 146
Risk-Reward
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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
![Page 147: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/147.jpg)
2003 CAS Research Working Party 147
Risk-Reward
10
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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
![Page 148: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/148.jpg)
2003 CAS Research Working Party 148
Risk-Reward
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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
![Page 149: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/149.jpg)
2003 CAS Research Working Party 149
Risk-Reward
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10 11 12 13 14 15 16 17 18 19 20
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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
![Page 150: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/150.jpg)
2003 CAS Research Working Party 150
Risk-Reward
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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
![Page 151: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/151.jpg)
2003 CAS Research Working Party 151
Risk-Reward
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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
![Page 152: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/152.jpg)
2003 CAS Research Working Party 152
Risk-Reward
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10 11 12 13 14 15 16 17 18 19 20
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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
![Page 153: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/153.jpg)
2003 CAS Research Working Party 153
Risk-Reward
10
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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
![Page 154: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/154.jpg)
2003 CAS Research Working Party 154
Risk-Reward
10
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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
![Page 155: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/155.jpg)
2003 CAS Research Working Party 155
Risk-Reward
10
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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
![Page 156: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/156.jpg)
2003 CAS Research Working Party 156
Risk-Reward
10
11
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15
16
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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
![Page 157: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/157.jpg)
2003 CAS Research Working Party 157
Risk-Reward
10
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16
17
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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
![Page 158: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/158.jpg)
2003 CAS Research Working Party 158
Risk-Reward
10
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16
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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
![Page 159: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/159.jpg)
2003 CAS Research Working Party 159
Risk-Reward
10
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16
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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
![Page 160: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/160.jpg)
2003 CAS Research Working Party 160
Risk-Reward
10
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16
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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
![Page 161: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/161.jpg)
2003 CAS Research Working Party 161
Risk-Reward
10
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16
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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
![Page 162: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/162.jpg)
2003 CAS Research Working Party 162
Risk-Reward
10
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16
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18
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20
10 11 12 13 14 15 16 17 18 19 20
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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
![Page 163: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/163.jpg)
2003 CAS Research Working Party 163
Risk-Reward
10
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16
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20
10 11 12 13 14 15 16 17 18 19 20
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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
![Page 164: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/164.jpg)
2003 CAS Research Working Party 164
Risk-Reward
10
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16
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20
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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
![Page 165: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/165.jpg)
2003 CAS Research Working Party 165
Risk-Reward
10
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16
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20
10 11 12 13 14 15 16 17 18 19 20
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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
![Page 166: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/166.jpg)
2003 CAS Research Working Party 166
Risk-Reward
10
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16
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20
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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
![Page 167: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/167.jpg)
2003 CAS Research Working Party 167
Risk-Reward
10
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16
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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
![Page 168: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/168.jpg)
2003 CAS Research Working Party 168
Risk-Reward
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11
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20
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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
![Page 169: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/169.jpg)
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
![Page 170: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/170.jpg)
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
![Page 171: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/171.jpg)
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
![Page 172: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/172.jpg)
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
![Page 173: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/173.jpg)
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
![Page 174: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/174.jpg)
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
![Page 175: Investment Presentation Example 2003 CAS Research Working Party: Executive Level Decision Making using DFA Michael R. Larsen, FCAS, MAAA](https://reader035.vdocument.in/reader035/viewer/2022062408/56649ea25503460f94ba5590/html5/thumbnails/175.jpg)
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