Guy Carpenter releases updated reserve risk model

Guy Carpenter & Company, LLC has announced the availability of the latest version of its reserve risk modelling solution, a faster and more flexible tool designed to help users aggregate reserve risk in a portfolio.

MetaRisk Reserve 4.5 allows users to more easily combine multiple lines of business and supplement Guy Carpenter’s Annual Risk Benchmarks Report by estimating line of business correlation from company-specific data, notes a statement this week from Guy Carpenter, a wholly owned subsidiary of Marsh & McLennan Companies.

Reserve risk is the largest risk on many insurers’ balance sheets and affects both solvency and earnings volatility, Guy Carpenter points out. Changes in calendar year trends, such as inflation increases, are the biggest drivers of reserve deficiencies, the statement adds.

MetaRisk Reserve 4.5 measures the inflationary trends in insurers’ loss triangles. Other features include that it can use a Generalized Linear Model to estimate a one-year view of reserve risk, and it offers an updated predictive model for calculating Solvency II and ORSA issues.

The updated model “gives clients the capability to address company-wide capital requirements by modelling a firm’s entire reserve risk portfolio,” says Steve White, chief actuary and head of enterprise analytics for Guy Carpenter.

State-of-the-art economic capital modelling solutions enable “insurers of all types and sizes to more effectively assess key risks, benchmark risk profiles, allocate capital, meet regulatory and rating agency requirements, and strategize for the future,” White adds.

MetaRisk Reserve 4.5 can be used with MetaRisk – Guy Carpenter’s risk and capital management decision-making tool – or on a standalone basis.