Working with research firm Risk Lighthouse LLC, Guy Carpenter accepted the 2011 Award for Practical Risk Management Applications at the 2011 ERM Symposium, held March 14-16 in Chicago.
The award-winning paper, U.S. Property-Casualty: Underwriting Cycle Modeling and Risk Benchmarks, was presented at the ERM Symposium as part of an expert panel on strategic risk management, value creation, risk indices and the cost of capital. Based on an in-depth study of the U.S. property-casualty insurance industry, the findings include an analysis of the historical underwriting cycle, with a new regime-switching model for simulating future cycles as a superior alternative to an autoregressive approach.
The paper also presents benchmarks for pricing and reserving risks for different lines of business and segments of the industry, as well as an historical correlation of the ultimate loss ratio between lines of business and the correlation of changes in the reserve estimate between lines of business.
“We are delighted to accept this award and be given the opportunity to present our findings to senior managers who strive to create systematic value and competitive advantage through the effective management of risk and capital," said Don Mango, Head of Global Advisory, Guy Carpenter & Company, LLC. "The risk benchmarks and underwriting cycle models introduced in our paper can be used by insurance companies in their own risk analysis and enterprise risk management modeling.”