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Capital Modelling

A

Actu09

Member
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
 
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