Casualty Actuarial Society

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  1. "Adjusting & Other" Reserves According to the "Loss-Activity Method"
    This paper presents an additional method for calculation "adjusting & other" claim handling expenses...
  2. 1988 Casualty Ratemaking Seminar
    From the period between 1980 thru 1984, the insurance industry in the United States was in the midst of a period of extreme price competition...
  3. 1991 NAIC Requirements for Casualty Actuarial Opinions
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  4. 1995 Statement of Actuarial Opinion
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  5. A Bayesian Credibility Formula for IBNR Counts
    A formula for IBNR counts is derived as the credibility weighted average of three standard actuarial estimates: (formula can be found in paper) Here LDF denotes the age-to-ultimate development factor...
  6. A Bayesian Credibility Formula for IBNR Counts, [Discussion]
    If an indicator of a significant paper is that it opens the door for further research, Dr...
  7. A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model
    This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the model of Schnieper for reserves which separate Incurred But Not Reported (IBNR) and Incurred But Not Enough Reserved (IBNER) claims...
  8. A Buyer's Guide for Options on a Catastrophe Index
    In the wake of recent catastrophes, a new way of transferring insurance risk was born...
  9. A Comparative Study of the Performance of Loss Reserving Methods Through Simulation
    Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate...
  10. A Comparative Study of the Performance of Loss Reserving Methodsthrough Simulation
    Actuaries are often asked to provide a range or confidence level for the loss reserve along with a point estimate...
  11. 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...
  12. A Comparison of Stochastic Models that Reproduce Chainladder Reserve Estimates
    It is shown that the (over-dispersed) Poisson model is not the same as the distribution-free chain ladder model of Mack (Distribution-free calculation of the standard error of chain ladder reserve estimates, ASTIN Bulletin 23 (1993) 213--225) although both reproduce the historical chain ladder estimator for the claims reserve...
  13. A Credibility Model with Random Fluctuations In Delay Probabilities for the Prediction of IBNR Claims
    We consider a general credibility model for the prediction of IBNR-claims which allows for random fluctuations m the underlying delay distribution...
  14. A Critique of Risk-Adjusted Discounting
    The adjustment of the discount function for risk has led actuaries and other financial decision-makers into a labyrinth, some of whose branches are risk-adjusted returns, capital allocation, and piecemeal risk loads...
  15. A Dynamic Approach to Modeling Free Tail Coverage
    This paper presents two approaches to estimating free tail coverage unearned premium reserves...
  16. A Family of Chain-Ladder Factor Models for Selected Link Ratios
    The models of Mack (1993) and Murphy (1994) are expanded to a continuously indexed family of chain-ladder models by broadening the variance structure of the error term...
  17. A Flexible Framework for Stochastic Claims Reserving
    In this paper, a flexible framework for stochastic claims reserving is considered which includes several models proposed to date as special cases...
  18. A Generalized Framework for the Stochastic Loss Reserving
    The traditional actuarial methods like loss development methods, Bornhuetter-Ferguson method, or Berquist-Sherman method have been served sell as long as point estimates are concerned...
  19. A Generic Claims Reserving Model: A Fundamental Risk Analysis
    In their diversity, insurance risks often require very different types of claims reserving models to describe them and to estimate the necessary reserves...
  20. A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy
    This paper will address adjusting incurred loss triangles for changes in case reserve adequacy...
  21. A Least Squares Method of Producing Bornhuetter-Ferguson Initial Loss Ratios
    Actuaries have relied on the Bornhuetter-Ferguson methodology in loss reserving since the "The Actuary and IBNR"[2] was published in 1972...
  22. A Markov Model for Loss Reserving
    The claims generating process for a non-life insurance portfolio is modelled as a marked Poisson process, where the mark associated with an incurred claim describes the development of that claim until final settlement...
  23. A Mathematical Model for Loss Reserve Analysis
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  24. A Mathematical Model for Loss Reserve Analysis
    It has long been recognized that loss reserving is, or should be, within the domain of the Casualty Actuary; but in no other area have we applied our expertise with as little success...
  25. A Mathematical Model For Loss Reserve Analysis [Discussion]
    Actuaries generally predict the ultimate cost of a partially paid accident year from the pattern of earlier accident years’ payments...

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