Hello All, As I am starting to get used to working more into capital modelling, I wanted to ask for some help regarding the following: When I wish to build a capital model for evaluating the effect of various reinsurance scenarios, I want to split my losses into 4 categories, attritional, large and if possible latent and catastrophe. My questions are the following: How can I decide on an appropriate threshold so as to split my claims between attritional and large - apart from applying dirctly the reinsurance treaty's retention as a threshold In order to model the attritional and large claims distributions, should I use only open claims information or should I include the closed ones as well? Thank you for your help
