We provide you with a simple user interface to enable you to record your scenario analysis outputs:
An expected loss frequency for each scenario
Two estimates of loss severity, and associated frequencies, for each scenario
An estimate of correlation between each scenario
We load your scenario analysis outputs into our model and for each scenario we parametrise a frequency distribution (either Poisson or Bernoulli) and severity distribution (either lognormal or pareto).
We employ Monte-Carlo techniques to rapidly apply these distributions to simulate 5 million losses for each scenario from which we build a corresponding loss profile.
We apply correlation modelling techniques (either a Gaussian or Student-t copula model) to your estimates of scenario correlations to build a combined loss profile from the individual loss profiles.
We model, at your required confidence level, estimates of undiversified loss on a combined and individual scenario basis and diversified loss.
We provide you with these model outputs for each iteration you require and on confirmation of the final iteration a detailed results document.
We provide you with a technical document which contains a user guide and methodology overview and provides insight tips and tweaks and bespoke options.