Remarks about “One-Year and Total Run-Off Reserve Risk Estimators Based on Historical Ultimate Estimates” by Filippo Siegenthaler

In this paper we will analyze the model introduced in Siegenthaler (2017). The author promises to present estimators for the one-year (solvency) as well as the ultimate uncertainty of estimated ultimate claim amounts that neither depend on any claim data nor on the reserving method used to estimate these ultimates. Unfortunately, the model cannot fulfill this promise: it only corrects for some bias in the estimated ultimates. The presented uncertainty estimators reflect the uncertainties of this bias correction and not those of the original estimated ultimates.

We will give a short introduction to the model, look at a very easy example, discuss the case of best estimate reserves, and have a look at the estimated uncertainties.