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GRA · Actuarial and Quantitative Risk

Spatial financeWhere capital meets hazard, exposure and transition

Methods and uncertainty

Actuarial and Quantitative Risk compares the core methods of the field: frequency-severity models, extreme value theory, credibility, copulas and dependence, stochastic scenario generation and model validation. This page states each method’s assumptions and where it fails.

Pirsek bike Back to Research and evidence
01Rêzik

Rêza ku tişt tê de diqewimin.

  1. 01Pêşnûmeçavkanî hatine destnîşankirin, nîşan hatine danîn
  2. 02Kontrola delîlanher nirx hatiye şopandin
  3. 03Nirxandina serbixwenakokî hatine ragihandin
  4. 04Çapbi sînorên xwe re hatiye weşandin
  5. 05Rastkiringuhertoyeke nû, qet guhertineke bêdeng
02Rêbaz

The methods in use.

  1. Actuarial mathematicsReserving with development triangles · Premium build-up · Annuity valuationApplied here
    Canonical · STEM Commons
  2. Teoriya nirxên tund û xetera dûvêExcess layer pricing · Tail capital measures · Non-stationary hazard extremesApplied here
    Canonical · STEM Commons
  3. Îhtîmal û statîstîkGeneralised linear models in pricing · Bayesian credibility · Goodness-of-fit testingApplied here
    Canonical · STEM Commons
  4. Pîvandina nediyariyê û rastandina modelêReserve ranges · Parameter and model uncertainty · Sensitivity rankingApplied here
    Canonical · STEM Commons
  5. Financial and risk engineeringValuing embedded guarantees · Economic scenario generators · Risk transfer structuresApplied here
    Canonical · STEM Commons
  6. Komputerkirina bi performansa bilind, ewr û kenarMonte Carlo simulation · Version control and reproducibility · End-user computing controlsApplied here
    Canonical · STEM Commons
03Extreme value methods in

Extreme value methods in brief.

RêbazTexmînTypical use
Block maxima with the generalised extreme value distributionMaxima of large blocks are approximately GEVAnnual maximum floods, wind speeds
Peaks over threshold with the generalised Pareto distributionExcesses over a high threshold are approximately GPDLarge claims, operational losses
Non-stationary extreme value modelsParameters vary with covariates such as time or temperatureClimate-affected perils
Credibility theoryBlend own experience with a collectiveSparse portfolios
04Pêvajo

Pêvajo çawa dimeşe.

Process explorer · Process

Methods and uncertainty: PRISMA 2020 review reporting

10 steps4 qonax

Pêvajo

Methods and uncertainty: PRISMA 2020 review reporting

PRISMA 2020 is a reporting guideline for systematic reviews; the steps follow its checklist, not a mandated sequence, and no Nexus document adopts it.

  1. 01 Plan

    1. 01Registration and protocolRecord · The review teamThe guideline asks for registration details, access to the protocol and any amendments.
    2. 02Eligibility criteriaRecord · The review teamThe guideline asks for the inclusion and exclusion criteria and how studies were grouped.

  2. 02 Find and select

    1. 03Search: sources and strategiesStep · The review teamThe guideline asks for the information sources and the full search strategies. It does not fix which sources are used.
    2. 04Selection of studiesStep · The review teamThe guideline asks how studies were judged eligible, including how many reviewers screened. It does not fix the number of reviewers.
    3. 05Flow diagramTomarThe flow diagram shows the number of records found, the number of studies included and the reasons for exclusion.

  3. 03 Analyse

    1. 06Data collectionStep · The review teamThe guideline asks how data were collected from reports and which data items were sought.
    2. 07Risk of biasStep · The review teamThe guideline asks for the methods and tools used to assess risk of bias.
    3. 08SynthesisModel · The review teamThe guideline asks for the effect measures and the synthesis methods. It does not prescribe meta-analysis.
    4. 09Bawerî bi delîlanStep · The review teamThe guideline asks for the methods used to assess certainty, and reports the result per outcome. It does not name a grading scale.

  4. 04 Report

    1. 10Review reportTomarThe guideline helps authors report why the review was done, what they did and what they found.

rêzeya Pergalên StratejîkOutline of an externally published reporting guideline, not a Nexus process and not a record of operation. PRISMA 2020 mainly covers reviews of intervention effects. No Nexus page names it. Every programme is at service level R0.

05Capital models

Standard formula versus internal model.

Standard formulas apply fixed calibrations; internal models use the firm’s own distributions and require supervisory approval. Both rest on tail estimates whose uncertainty should be shown. Topic depth at capital and solvency models.

06Nediyarî

How uncertainty is reported.

  1. 01

    State assumptions

    Each analysis lists its assumptions and the data it depends on.

  2. 02

    Quantify where possible

    Ranges and confidence are reported alongside central estimates.

  3. 03

    Validate and compare

    Models are checked against observations and, where possible, against other models.

  4. 04

    Publish limits

    What an analysis cannot show is stated beside what it can.

07Çavkanî

Where this page’s references lead.

Sazî û belgeyên ku ev rûpel li hember wan tê xwendin. Rewş û çap diguherin; her girêdan diçe ba saziya derxistinê.

08Pirs

Pirs û bersiv.

Are the methods open?
Method descriptions are public on the STEM Commons. Code and data follow their own licences and access terms, listed in the source register.
rêzeya Pergalên StratejîkTevkarî bike

Ji vê rûpelê delîl bidin.

Reports is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.

Global Risks AllianceXetera aktuarî û hejmarîRêbaz û teknîkîAmadebûna fînans û sîgortayê

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Bring an exposure or capital question to the Alliance.

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