Two major rating agencies revealed details of their latest efforts to revise their capital models last week, with both assuring carriers that the changes will not immediately impact ratings.
Fitch Ratings provided extensive disclosure of a dynamic global economic capital model, known as PRISM, which it will start using next year.
Unlike static factor-based models, dynamic models–such as the one Fitch will use to rate insurers and reinsurers–assess the ability of companies to withstand multiple stresses to underwriting and investment results simultaneously by running thousands of computer simulations of possible future environments.
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