Casualty Actuarial Society

Publications

Monographs

CAS Monograph No. 3: Stochastic Loss Reserving Using Generalized Linear Models

CAS Monograph No. 2: Distributions for Actuaries

05/04/2016–Stochastic Loss Reserving Using Generalized Linear Models, the third volume of the new CAS Monograph Series, is now available for download. In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.

Greg Taylor holds an honorary professorial position in Risk and Actuarial Studies at the University of New South Wales. He previously spent 44 years in commercial actuarial practice and eight years as an actuarial academic. Taylor has published two books on loss reserving and numerous articles in mathematics, statistics, and actuarial science. He is an Officer of the Order of Australia, and holds a Gold Medal from the Australian Actuaries Institute and a Silver Medal from the United Kingdom Institute and Faculty of Actuaries.

Gráinne McGuire is a consulting actuary with Taylor Fry, with over 12 years’ experience in that role, and has specialized knowledge in complex claim modeling and loss reserving using GLMs. She has co-authored a number of papers on various topics in loss reserving including the use of GLMs, bootstrapping and automatic reserving methods (of which one paper, co-authored with Greg Taylor, was awarded the Michelbacher prize in 2004). She has also been a member of GIRO working parties examining stochastic loss reserving and uncertainty measurement. She holds a Ph.D. in statistics and is a Fellow of the Actuaries Institute, Australia.

CAS monographs are authoritative, peer-reviewed, in-depth works focusing on important topics within property and casualty actuarial practice. The CAS Monograph Series fulfills the goal of creating an important addition to the existing body of CAS literature, with each monograph enabling the comprehensive treatment of a single subject. The Monograph Editorial Board (MEB) manages the monograph publication process in close coordination with the CAS editorial staff. Submission guidelines can be found on the CAS website or by contacting Donna Royston at droyston@casact.org.

This monograph is currently available to all CAS members as a free download. Print copies will soon be available in the CAS online store.

The CAS Monograph Series showcases CAS members' extensive specialized expertise, helping to raise the performance standard for property and casualty actuaries through insightful research. The monographs represent just one way that the CAS provides its members with access to relevant information, research and resources that they can apply directly on the job to advance in their careers. For information on submitting a monograph, visit the Monograph Submission Guidelines page.

The CAS Roundtable

Posted on 05/31/2017
By Rick Gorvett

Read More