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34613182327312003619sigmasigma(Research&Publications,sigmainsuranceresearch):/©SwissResigmasigmasigmasigma20034sigmaP.O.BoxCH-8022Zurich()[e-mail]55East52ndStreet40thFloorNewYork,NY10055+12123175135+121231754551861+85225825691+85225116603DavidLaster+12123175587+12123175455KurtKarl+12123175564AureliaZanetti+41432852544ThomasHesssigmaSwissRe,sigmaNo.4/200331004sigmaFSRs4SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/200351412002100A.M.Best1916190919061924500021005001250125090010070010060100273117340FIMALAC()()/40%40%14%4%A.M.Best2%6SwissRe,sigmaNo.4/200326102(BCBS)xxx3966xxxxx59711xxxxxx61995xxx31996xxxxx51997xxx3xxxxxx61996xxx3961xxxxx51997xxxxxxx71995xxx31975BCBS511542111149(BCBS)xx21997xxxxxxx719971xxxx4xxxx41994BCBS241213417715663141566DominionMikuni&Co.SwissRe,sigmaNo.4/200373Basel114A.M.Best2200244%A.M.Best30%17%7%2%8SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/2003910SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/200311Weiss1989KMVRiskMetrics12SwissRe,sigmaNo.4/2003A.M.BestA++,A+AAAAaaAAAA,A-AAAaAAB++,B+AAABBBBaaBBBB,B-BBBaBBC++,C+BBBC,C-CCC,CC,CCaaCCCDDDD,DD,DCaCCECRFS+,-1,2,3(1,3)+,-2000SwissRe,sigmaNo.4/2003133/41990A.M.Best//14SwissRe,sigmaNo.4/200340%35%30%25%20%15%10%5%0%AAAAAAother19992000200120022003100%90%80%70%60%50%40%30%20%10%0%1988199520002001200219911995200020012002,......,............SwissRe,sigmaNo.4/20031516SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/20031741973-19871988-200320035AAA436769AA737263A999994BBB166160210BB299374509B404539611CCC7241095131218SwissRe,sigmaNo.4/2003®5()1981-20021510AaaAAA0.000.000.170.100.400.48Aa1AA+0.000.000.170.170.280.38Aa2AA0.000.000.330.140.810.71Aa3AA-0.050.020.290.460.481.20A1A+0.000.060.470.580.931.60A2A0.030.050.680.511.861.67A3A-0.040.040.620.851.752.31Baa1BBB+0.210.351.802.332.904.66Baa2BBB0.150.342.242.245.505.46Baa3BBB-0.500.434.235.598.9710.88Ba1BB+0.700.527.617.5613.9614.00Ba2BB0.651.169.4210.8615.9218.73Ba3BB-2.382.0720.7016.3039.2926.45B1B+3.333.2927.5621.4549.9731.48B2B7.149.3134.4931.6847.3739.56B3B-11.9713.1544.4040.1862.6049.23Caa-CCCC23.6527.8760.9950.4681.7357.210.090.131.051.202.212.725.485.1725.3821.3138.9930.07SwissRe,sigmaNo.4/200319A.M.Best&51990-1999,36,1981-2002,1.451.003.630.150.611.114.440.00/Best0.940.552.050.21/4000.400.531.750.00Best320SwissRe,sigmaNo.4/20033%2%1%0%3%2%1%0%A++/A+A/A-B++/B+2.39%2.22%0.21%0.50%0.21%0.02%Altman'sZ-......SwissRe,sigmaNo.4/2003216KMV,1979-1990(%)(%)KMV22SwissRe,sigmaNo.4/2003100%90%80%70%60%50%40%30%20%10%0%10%20%30%40%50%60%70%80%90%100%2030401975Fitch,197554SwissRe,sigmaNo.4/2003237?/1936BBBOCC,FDIC,1951NAIC1975-BBB215c3-1:1991A1119492a-71998BBB119981999A11999Gramm-Leach-Biley24SwissRe,sigmaNo.4/200370%,...SwissRe,sigmaNo.4/2003257...71%31%18%17%16%/GICs8%BOLI/COLI6%4%/26%26%25%6%6%/4%MGA4%3%26SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/200327............28SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/20032930SwissRe,sigmaNo.4/2003Best,8SwissRe,sigmaNo.4/20033132SwissRe,sigmaNo.4/2003SwissRe,sigmaNo.4/2003338NAIC-34SwissRe,sigmaNo.4/2003A.M.BestBestBest......,......BestBCARBCARSwissRe,sigmaNo.4/2003358Best200036%...BCAR=(B1)(B2)(B3)(B4)(B5)LAE(B6)(B7)=(B1)2+(B2)2+(B3)2+(0.5*B4)2+[(0.5*B4)+(B5)]2+(B6)2+(B7)/LAE25%8%31%15%2%9%10%36SwissRe,sigmaNo.4/20039Best200036%...56%.35%45%BCAR,Best9A.M.Best(NPW)(PMPM)NetReturnonEquitySwissRe,sigmaNo.4/20033738SwissRe,sigmaNo.4/2003200342003320032200220031ART200272002620012002520024200232002220021200120017200162000200152001420013200122000200112000919992000820007200062000520004200032000219992000119997199819996199951999419993199719992(ART)21199911998sigmaMythenquai50/60CH-8022Zurich()[e-mail]