PillarOne.RiskAnalytics 0.2
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Focus on usability of the application and new reinsurance contracts and copula components.
Release Notes
| Tested with | PillarOne 0.3 |
|---|---|
| State | Final release |
| License | GPL |
Application
- Raw simulation data viewer which allows to search for data addressing different criteria such as > Percentile or between gross of LoB_1 > x and gross of LoB_2 < y. The search results can be exported.
- VaR and TVaR can be selected for any key figure in a simulation result.
- Content-based filtering of parameter, result and simulation template tables, e.g. show only loss distributions, or only reinsurance contracts.
- Powerful, yet simple to use versioning of models, parameters, structure and simulation templates. Parameters which were used to produce a simulation result are automatically locked; if the user nevertheless wants to edit them, a new version is created and - if an older version is edited - a sub-version will be created, i.e. a version branch.
- Export charts can be displayed as images or data.
- pdf estimation using a data driven bandwidth selection for the Gauss kernel
- You can now work with several models and use the Windows menu to switch between them.
Business Logic
- Efficient way to configure reinsurance programs in the parameter view: New contracts can be introduced via a context menu; the order of the contracts in the reinsurance program can be specified using the parameter "inuring priority".
- Multi-line reinsurance: The contracts can handle multiple lines
and allocate the losses back to the LoBs.
- Two strategies for modeling Surplus
- Cat XL
- New copula components for dependency modeling: Normal Copula, Frechet Upper Bound Copula, t-Copula
