The Multiple Probabilistic Trend Family (MPTF) modeling framework of ICRFS™ gives:
- one single optimal composite model identified from the data for multiple lines of business and segments
- a company wide picture encapsulating trends and volatility in each line/segment and relationships between them
- the diversification credit based on volatility correlations between lines/segments and any common drivers
- risk capital metrics for optimal risk capital management - including reinsurance
Access to much information by segment, business unit, or any combination of aggregates with a few mouse clicks!
![](images/CompositeModel/CompositeModel.png)
![](/images/CompositeModel/ModelDisplay.png)
The composite model retains the trend and volatility structure identified for each individual segment. Segments are linked by volatility correlations. Common drivers across segments, if found, form a stronger relationship than volatility correlation as movement in means is a more direct relationship than randomness.
![](/images/CompositeModel/ForecastTable.png)
The forecast tables are available for all individual segments, as well as any selection of aggregates, or aggregates of aggregates. As usual, the black numbers are fitted [projected] values, the blue numbers are observed values, and the red [burgundy] values are standard deviations for each cell [total].
![](/images/CompositeModel/ForecastSummarybyDatasets.png)
Forecast summary breakdowns are available for each aggregate - and include a number of tables showing allocations into each element comprising the selected aggregate (here business unit).
![](/images/CompositeModel/FSbyCYandBU.png)
![](/images/CompositeModel/ReserveDistribution.png)
![](/images/CompositeModel/RiskCapitalGraphs.png)