Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: Property and casualty insurers face risks in many key areas, such as operations, natural catastrophes and underwriting. Among the underwriting risks is the potential financial impact of adverse loss reserves development.This paper illustrates a model of loss reserve risk that will incorporate how risk evolves over time at annual time horizons.