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All Categories > Actuarial Applications and Methodologies > Reserving > Reserve Variability

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1. A Comparison of Stochastic Models that Reproduce Chain Ladder Reserve Estimates
   It is shown that the (over-dispersed) Poisson model is not the same as the distribution-free chain ladder model of Mack (1993) although both reproduce the historical chain ladder estimator for the claims reserve...
2. A Method for Projecting Individual Large Claims
   Motivation: The paper will address the issue of estimating the uncertainty in the run off of individual large claims in insurance portfolios, which is often the primary source of uncertainty in the reserving risk component of insurance risk...
3. A Multivariate Bayesian Claim Count Development Model With Closed Form Posterior and Prdictive Distributions
   We present a rich, yet tractable, multivariate Bayesian model of claim count development...
4. A Stochastic Framework for Incremental Average Reserve Models
   Motivation: Chain ladder forecasts are notoriously volatile for immature exposure periods...
5. A Stochastic Method for Claims Reserving in General Insurance
   The paper addresses the problem of estimating future claim payments from the ‘run-off’ of past claim payments...
6. A Stochastic Planning Model for the Insurance Corporation of British Columbia
   A stochastic planning model is a representation to an appropriate level of detail of all of the cash flows of an insurance company, where the variables are stochastic (randomly generated)...
7. Analytic and bootstrap estimates of prediction errors inclaimsreserving
   We consider an appropriate residual definition for use in a bootstrap exercise to provide a computationally simple method of obtaining reserve prediction errors for a generalized linear model which reproduces the reserve estimates of the chain ladder technique (under certain restrictions which are specified in the paper)...
8. Application of Collective Risk Theory to Estimate Variability in Loss Adjustment Expenses
   The intent of this paper is to present an introduction to Collective Risk Theory for the first time reader and considerations in applying that theory to estimate variability in loss reserves...
9. Application of Collective Risk Theory to Estimate Variability in Loss Reserves
   Summarizes the collective risk model and ways to compute aggregate loss distributions...
10. Best Estimates for Reserves
    In recent years a number of authors (Brosius, 1992; Mack, 1993, 1994; and Murphy, 1994) have shown that link ratio techniques for loss reserving can be regarded as weighted regressions of a certain kind...
11. Best Estimates for Reserves
    Link ratio techniques can be regarded as weighted regressions...
12. Calculation of Probability Levels for Loss Reserves
    It is well known that actual future losses for most lines of business will certainly not equal their estimated value...
13. Chain Ladder Reserve Risk Estimators
    Mack (1993) [2] and Murphy (1994) [4] derived analytic formulas for the reserve risk of the chain ladder method...
14. Combining Chain-Ladder and Additive Loss Reserving Methods for Dependent Lines of Business
    Often in non-life insurance, claim reserves are the largest position on the liability side of the balance sheet...
15. Comparative Study of the Performance of Loss Reserving Methodsthrough Simulation; A
    Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate...
16. Considerations Regarding Standards of Materiality in Estimates of Outstanding Liabilities
    This paper reports on our research into the issues associated with establishing standards for materiality associated with claim liability estimates...
17. Correlation and the Aggregation of Unpaid Loss Distributions
    Significant progress has been made in the last decade in developing models to describe the distribution of unpaid losses for a line of insurance...
18. Correlation and the Measurement of Loss Reserve Variability
    Loss reserves are the largest liability on the balance sheet of an insurance company, yet they are only estimates...
19. Dirty Data on Both Sides of the Pond
    Motivation: This paper takes a multi-faceted approach to quantifying the significance of data quality issues for property/casualty actuaries, addressing both the prevalence of data quality issues across areas of practice and the significance of those issues...
20. Distortion in IBNR Factors
    The purpose of this actuarial note is to set forth the reasoning and the results involved in a small actuarial problem which occurs from time to time...
21. Distortion in IBNR Factors [Discussion]
    This actuarial note lives up to Mr...
22. Distribution-Free Calculation of the Standard Error of Chain Ladder Reserve Estimates
    A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods using a numerical example...
23. Economic Valuation Models for Insurers
    Recently much attention has been given to the approaches insurers undertake in valuing their liabilities and assets...
24. Economic Valuation Models for Insurers [Author's Reply]
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25. Economic Valuation Models for Insurers [Discussion]
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