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CAS Working Party on Reserve Variability
Areas for Future Research
Areas for Specific Research:
1. Latent Liabilities
2. Correlation of Reserve Segments
3. Making Use of External Information
4. Adjusting Data for Operational Changes
5. Making Use of Individual Claim Data
CAS Working Party on Reserve Variability
Areas for Future Research
1. Latent Liabilities
Various methods exist for estimating future
payments for “latent” exposures such as
asbestos, pollution, mold, and other mass
tort events. The challenge is to turn these
into statistical distributions.
CAS Working Party on Reserve Variability
Areas for Future Research
2. Correlation of Reserve Segments
Most statistical reserving models focus on a
single triangle or a single reserve segment
(e.g. a line of business). We need methods
to combine these, so that the variability of
the total company reserve position can be
calculated.
CAS Working Party on Reserve Variability
Areas for Future Research
3. Making Use of External Information
Selected reserves may use “industry”
development patterns and “a priori”
expected loss ratios (e.g., B-F methods).
How can the uncertainty in this external
information be incorporated in the final
reserve variability?
CAS Working Party on Reserve Variability
Areas for Future Research
4. Adjusting Data for Operations Changes
Many statistical models assume that the
past loss emergence is predictive of the
future, or at least that the future will be
different in definable ways (e.g. known
differences in case reserve adequacy).
How is variability affected when that
assumption is false?
CAS Working Party on Reserve Variability
Areas for Future Research
5. Making Use of Individual Claim Data
New technology suggests that reserves can
be set based on individual claim data rather
than the summarized triangle format. Can
we reduce estimation uncertainty with this
more detailed information?