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Session
Practical Applications
Of Reserve Ranges
Lee Steeneck
SEC 10-K 12/03 Disclosures on
use of reserving ranges
AIG, Chubb, ACE do not speak to ranges
Hartford shows variability in 3 yr development to 12/03
TPC considers results of multiple methods, backtests
and recalibrates MBE
St. Paul considers a range of estimates bounded
bottom/top and records MBE
Everest Re creates high/low in 5 classes using
objective and subjective means. MBE set by class
CNA has 4 classes and shows +/- of 7-10%, 25% for
inherent volatility from MBE
XL Capital sets point estimates and ranges by LOB,
creates statistical distribution(VAR), and forecasts out 1
year
Partner Re doesn’t disclose ranges but uses stochastic
simulations in determining MBE.
MBE= Management’s best estimate; reserves held.
Lee Steeneck, Practical Applications of Reserve Ranges. Disclaimer = My remarks are
personal, not representing views of my employer or the cosponsors of this CLRS event.