| Line of Business | Signal Lift | 95% Conf. Interval | P-Value | Significance | Interpretation |
|---|---|---|---|---|---|
| Directors & Officers (D&O) | 1.61× | [1.21 – 2.26] | p = 0.0009 | ★★★ HIGH | 61% more claims above threshold when signal fires |
| Credit & Surety | 1.88× | [1.51 – 2.50] | p < 0.0001 | ★★★ HIGH | 88% more credit defaults in flagged windows |
| Business Interruption (BI) | 1.54× | [1.33 – 1.76] | p < 0.0001 | ★★★ HIGH | Tight CI — robust systematic correlation |
| Trade Credit | 1.29× | [1.10 – 1.56] | p = 0.004 | ★★★ HIGH | 29% excess claims lift in stressed market windows |
Methodology: Signal lift = P(claim | Cascade signal active) ÷ P(claim | no signal). Bootstrap CI: 10,000 resamples. Permutation test against null of no predictive relationship. All results validated on out-of-sample held-out data. V6 model includes 15 crisis events 2008–2025. Walk-forward OOS degradation: −4.1% (OOS slightly exceeds in-sample). Standards compliance: these results represent historical backtests and do not guarantee future performance.
| Factor | Score +1 (Stage 1) | Score +2 (Stage 2) | Score +3 (Max) | Metric | Window |
|---|---|---|---|---|---|
| VIX Level | ≥ 18.0 | ≥ 25.0 | ≥ 35.0 | CBOE Volatility Index | Daily close |
| Breadth (Drawdown) | ≥ 3 assets | ≥ 6 assets | ≥ 9 assets | Count with >5% 30-day drawdown | 30-day rolling peak |
| Cross-Asset Correlation | r̄ ≥ 0.30 | r̄ ≥ 0.50 | r̄ ≥ 0.70 | Avg pairwise Pearson r (log returns) | 30-day rolling |
| Score Range | Regime | Insurance Implication | Recommended Action |
|---|---|---|---|
| 0 – 2 | SAFE | Normal conditions; baseline claims frequency | Standard risk posture |
| 3 – 4 | CAUTION | Elevated stress signals; moderate claims uplift expected | Monitor; review new-business exposures |
| 5 – 6 | DANGER | Significant systemic stress; heightened claims risk window | Tighten underwriting; activate monitoring protocol |
| 7 – 9 | EXTREME | Maximum systemic stress; peak claims risk | Trigger parametric coverage; full escalation protocol |
Note: Each factor contributes up to 3 points; composite maximum is 9. Thresholds are calibrated from 2008–2025 crisis data and re-evaluated at each refresh cycle. Subscribe for automated email/webhook alerts on regime threshold breaches. Patent Pending.