GRA · Actuarial and Quantitative Risk
Spatial financeWhere capital meets hazard, exposure and transition
Reviewed models and scenarios
Quantitative models turn hazard, exposure and behaviour into loss distributions, capital and pricing questions. This page sets out what a quantitative annex to a readiness file contains and the professional standards actuarial work follows. Every value shown is a design value; no page here is an actuarial opinion.
The workspace for reviewed models and scenarios.
Pipeline
Reviewed models and scenarios · Workspace WS-71 · Example interface, not a record
Stages
- Ingest5 sources
- Validateschema · licence
- Transformversioned
- ModelActuarial
- Testheld-out
- Releasewith limits
Artefacts
| Claims triangles | v2.9 | To check | OBSERVED |
| Exposure data | v2.8 | To check | REPORTED |
| Mortality tables | v4.1 | To check | Published statistics |
| Economic scenarios | v6.2 | Open | MODELLED |
Compute quota
share used vs alert level
Actuarial and Quantitative Risk · Pipeline. Pipeline: example names and illustrative values, not a record.
Released, referenced and rights-cleared.
- Time and space reference for every view.
- Sources and licence.
- Uncertainty and known limits.
- Version and date of release.
What a quantitative annex to a dossier contains.
| Item | Content |
|---|---|
| Loss model | Frequency and severity assumptions, or the catastrophe model used |
| Tail estimate | Return-period losses with confidence intervals |
| Dependence | How perils, regions and lines are assumed to correlate |
| Validation | Back-testing, benchmarking and sensitivity results |
| Professional basis | The actuarial standards followed |
How the process runs.
Process
Reviewed models and scenarios: Catastrophe model pipeline
Catastrophe models usually have hazard, vulnerability, exposure and financial modules, and produce loss tables, average annual loss, exceedance curves, PML and TVaR.
01 Hazard
- 01Event catalogueDataset · Model developerThe hazard module holds a large catalogue of simulated events that represents a wide range of plausible scenarios.
- 03Hazard moduleModel · Model developerFor each event the hazard module gives the local hazard intensity that the vulnerability module reads.
02 Exposure and damage
- 02ExposureDataset · Appointed actuaryThe exposure module houses the portfolio data, such as location-specific information.
- 04Vulnerability moduleModel · Model developerThe vulnerability module quantifies the expected damage to the exposures from an event.
03 Financial
- 05Financial moduleModel · Appointed actuaryThe financial module calculates losses from all event scenarios. Ground-up, gross and net losses differ as shown below.
- 06Event loss tableDataset · Appointed actuaryAn event loss table lists each event with its annual occurrence probability and its loss for the portfolio.
- 07Year loss tableDataset · Appointed actuarySome models also sample simulated years from event losses. This outline does not describe their format.
04 Metrics
- 08Exceedance probability curvesModel · Appointed actuaryThe occurrence curve gives the chance that the largest loss in a year exceeds an amount. The aggregate curve does so for the sum of losses.
- 09AAL, PML and TVaRModel · Appointed actuaryAverage annual loss sums event probability times loss. PML is one point on the occurrence curve.
05 Use of results
- 10Use of resultsDecision · Appointed actuaryThe tail metrics are used when considering a portfolio’s exposure and the level of catastrophe reinsurance an insurer requires.
Outline of an external standard or method, from its public sources. It describes what the framework says, not a record of any run. It does not show that Nexus or any partner performs, certifies or approves a step. A gate is a step of the method, never a Nexus approval.
Professional standards apply.
Actuarial work follows professional standards: the IAA International Standards of Actuarial Practice and national standards such as the US Actuarial Standards of Practice. Model validation follows supervisory expectations: Solvency II internal model rules, the ICS and, for banks, SR 26-2 and PRA SS1/23. Topic depth at quantitative model validation.
Releases appear as they are reviewed.
Analysis runs in Foundry; reviewed releases are listed here.
Where this page’s references lead.
The bodies and documents this page is read against. Status and editions change; each link goes to the issuing body.
- International Actuarial Association: International Standards of Actuarial Practice (ISAP)
- Solvency II Directive 2009/138/EC as amended by the 2025 review (apply from 30 January 2027)
- IAIS Insurance Core Principles and ComFrame, including the Insurance Capital Standard (adopted December 2024)
- US interagency revised guidance on model risk management, SR 26-2 (April 2026), superseding SR 11-7
Questions and answers.
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