• WHAT THIS IS ALL ABOUT

    Welcome! This site is an experiment in collaborative effort to develop risk analytical tools as an open source software under a very liberal license. While the idea is not new, its use in the actuarial and risk community has been very limited. The few attempts have been largely unsuccessful.


    The goal of this project is to develop software for calculating Risk-Based Capital for insurance companies. The open source software development project is hosted on this Google Code site. The focus is on exploring a specific approach that the development team sees as a valid modern choice for quantifying risk and determining capital requirements.


    This site contains a Discussion Forum and a LIBRARY of hosted or linked documents relevant to the analysis of risk and the development of analytical tools for its quantification. The primary focus is on the insurance risk and Risk-Based Capital calculation. However, the Discussion Forum provides an opportunity for discussing broader topics related to risk. These topics range from the general policy issues involved in establishing capital requirements to the technical details of risk analytical tools utilizing big data.


    The Discussion Forum has a value independent from the software development project it is intended to support. It provides an unusual opportunity to have frank discussions and exchange ideas in an informal environment. The discussion are intended to touch on a wide range of topics; the forum could become a brainstorming vehicle where new approaches are developed and original ideas generated. The forums, as a tool, provide this opportunity. It’s up to you whether to take advantage of it and to engage in a stimulating and productive dialogue on all topics related to risk and analytics.



    While many of the materials posted here have been presented to the P/C Risk-Based Capital Committee of the American Academy of Actuaries, they are not endorsed or approved by the Committee or the Academy. They represent ongoing research and in their current form are not a finished work product. Any materials on this site are provided on an "as is" basis, without warranties or conditions of any kind, either express or implied, including, without limitation, any warranties or conditions of title, non-infringement, merchantability, or fitness for a particular purpose. You are solely responsible for determining the appropriateness of using or redistributing these materials and assume any associated risks.


    Alex Krutov, Ernesto Schirmacher and Sholom Feldblum explicitly disclaim all liability for any consequences resulting from the use of the materials or information in the messages posted or linked to on this site and the companion site http://code.google.com/p/rbc-risk-analytics/. Alex Krutov and Sholom Feldblum, in whatever role each of them may play in the operation of this site or the companion site, are not acting in their respective capacities as the chair and member of the P/C Risk-Based Capital Committee of the American Academy of Actuaries. The content of this site and the linked site are not sponsored by or considered a work product of the American Academy of Actuaries, the Casualty Actuarial Society, the Society of Actuaries, the NAIC, any other organizations or individuals, or past or current employers of Sholom Feldblum, Ernesto Schirmacher, Alex Krutov or any of the administrators or moderators of these sites.

  • News

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    Even though the site is not officially up yet, it has apparently been discovered and messages started to appear in the discussions. Itís not surprising the first ones are in the Off-Topic category in the Forums.

    Update: The site is still not up officially and it's existence hasn't been announced, but there are interesting discussions going on. The frank nature of some is encouraging.

    In this spirit, here is a video on the financial crisis that appears to be behind us. Insurance and insurance solvency regulation are not directly discussed. While the video does not represent the views of any moderator or administrator of this forum, those interested in quantitative risk analysis will find it interesting and in some parts amusing.




    The title is Are Mathematical Models the Cause for Financial Crisis in the Global Economy? The subtitle is Kill all the quants?
    Those not interested in the quantitative elements of the topic are not going to find this interesting.


    Thanks to Alex Krutov for replying to a request to suggest an interesting video relevant to financial risk analysis. Alex Krutovís question of whether any videos are appropriate for this site is being noted.

    Posted in compliance with YouTube license agreement. Uploaded to YouTube by ResearchChannel.
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    NAIC official video: Address by NAIC President and Florida Insurance Commissioner Kevin McCarty "U.S. Insurance Regulators Increase International Focus"


    Selected quotes

    "U.S. insurance regulators, working through the NAIC, have stepped up our involvement and profile internationally. We have redoubled our efforts to engage our international counterparts to increase cooperation and harmonize regulatory outcomes, and we now have a federal partner, the Federal Insurance Office, in this effort."

    "The SMI [Solvency Modernization Initiative] is a critical self-examination launched in 2008 and not in response to a solvency proposal. It is to ensure the U.S. regulatory system is keeping up with rapid changes in the marketplace by taking stock of global best practices. It aims at improving our system so companies can continue to innovate, while remaining financially secure and able to meet their promises to customers."

    "... Europe looks to adopt its new regulatory supervisory proposal called Solvency II. Solvency II was designed for Europe's unique history and culture, its legal framework, and its governments. Similarly our regulatory reform is reflective of our history and culture, government and legal framework. We look forward to working with our EU colleagues to ensure a mutual understanding and recognition of the different approaches to solvency protection while enhancing transatlantic commerce. Despite obvious differences in our approaches, the ability of our U.S. system to protect consumers and provide for stable and competitive markets has been tested and proven. The long-term objective of global regulatory convergence should be measured and achieved using an outcomes-based approach that protects consumers and promotes stability. Here in the U.S., we have a time-tested solvency framework that performed well in the last financial crisis. And we continue to make improvements to protect our market against any possible future crisis."

    "An equivalence determination should focus on objectives of regulation and must respect performance, as well as contemplate different legal and regulatory systems already in place. While the way we weathered the recent financial crisis is a testament to a sound and solid regulatory foundation, as evidenced by the SMI and our recurring dialogues with our international counterparts, we are receptive to any reasonable dialogue on measures to strengthen the global marketplace without compromising the quality measures already in place."

    Posted in compliance with YouTube license agreement. Uploaded to YouTube by NAIC Communications. Risk-BasedCapital.org is not affiliated with the NAIC.

    Initially posted in the Risk-Based Capital in the US thread in the Discussion Forums by Scott Anderson.