6  Emergence but no Discount

or Pricing Multi-period Risk Emergence Using a Single Period Spectral Risk Measure

  1. Emergence with no discount
    • Introduction
    • Literature review for risk over time
    • Distinction between emergence and payout patterns; comparison with traditional triangle-based models, Bornhuetter-Ferguson and Cape Cod
    • P2P models: using a one-period model to price multi-period risk
    • Bernoulli time expensive results: intuitions about the value of information
    • Two-period compound models with frequency known at period 1
    • Other models of loss emergence: A+B, random walk, etc.
    • Constraint: ultimate is sum of emergence over periods, a new decompostion of risk
    • Correctly modeling casualty risk: not more risky because slow-emerging, ensure your modeling allows for the full range of undercertainty!
    • Independent sum of emergence model (different slicing of CY and AY)
    • Comparion with IFRS risk adjustment; magnitude of risk adjustment reported (vs. CSM)