Department of Finance
Journal of Actuarial Practice (1993–2006)
Accessibility Remediation
If you are unable to use this item in its current form due to accessibility barriers, you may request remediation through our remediation request form.
Date of this Version
1995
Document Type
Article
Citation
Journal of Actuarial Practice 3 (1995), pp. 243-267
Abstract
The paper outlines an approach that has evolved at Aetna through ten years of property/casualty insurance cash flow testing. Methodologies and approaches to setting parameters reflecting both default and call/prepayment risk are discussed for major invested asset categories. Modeling runoff cash flows for a base scenario (and, for some of these assets, shocked scenarios) also is examined for major non-invested asset categories. Loss reserve cash flow modeling is not addressed, except for a brief description of one approach to shocking projected flows. Finally, various alternatives are given for presenting cash flow testing results to management and non-actuarial audiences.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 1995 Absalom Press