Reserving

Robust Estimation of Reserve Risk
(Contribution from a SCOR expert in an external publication) We tackle problems that appear in the practical…
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Principles-Based Reserving: What to Expect
With the adoption of the compromise proposed by the American Council of Life Insurers, the transition from…
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New Options in Reserve Financing
In recent years, a few large life insurers and reinsurers have successfully turned to the capital markets…
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Standards (implemented in ResQ)

Using Best Practices to Determine a Best Reserve Estimate

Risk Management > Reserving
08/1998
Currently, many actuaries produce a range of reasonable reserve estimates for IBNR loss and loss adjustment expense.…
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The Actuary and IBNR

Risk Management > Reserving
10/1972
Incurred But Not Reported loss reserves (hereinafter referred to as IBNR reserves) represent vast sums of money,…
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Alternatives Methods

In this paper, we have proposed a Generalized Autoregressive Conditional Sinistrality Model (GACSM) for claims. We extend…
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Small and Large Claims in a Chain Ladder Framework

Risk Management > Reserving
02/2009
The chain ladder (CL) method is a commonly used algorithm that produces an estimator for insurance claims…
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Credible Claims Reserve: The Benktander Method

Risk Management > Reserving
06/2000
A claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a…
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Best Estimates for Reserves

Risk Management > Reserving
07/1999
In recent years a number of authors (Brosius, 1992; Mack, 1993, 1994; and Murphy, 1994) have shown…
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The run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments…
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Paid and Incurred combined Methods

In many applied claims reserving problems in P&C insurance claims development goes beyond the latest observations available…
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Modeling Paid and Incurred Losses Together

Risk Management > Reserving
05/2009
The modeling skills of actuaries and academicians have developed to the point of their seeking joint models…
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The IBNR reserve for a portfolio is usually calculated on the basis of both the run-off triangle…
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Many loss reserving models are over-parameterized yet ignore calendar-year (diagonal) effects. Venter illustrates techniques to deal with…
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A loss reserving method for incomplete claim data

Risk Management > Reserving
06/2008
A stochastic model of an additive loss reserving method based on the assumption that the claim reserves…
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Latent

Reserving for Asbestos Liabilities

Risk Management > Reserving
08/2003
Significant uncertainties surround the ultimate costs of asbestos liabilities. The goal of the present work is to…
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Measurement of asbestos bodily injury liabilities

Risk Management > Reserving
06/1994
This paper presents a model for projecting an insurer's or reinsurer's potential asbestos bodily injury (BI) liabilities…

GLM

Loss Reserving with GLMs: A Case Study

Risk Management > Reserving
05/2004
This paper provides a case study in the application of generalised hnear models ("GLMs") to loss reserving.…
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Bootstrap

Stochastic claims reserving in general insurance

Risk Management > Reserving
01/2002
This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with…
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It is shown that the (over-dispersed) Poisson model is not the same as the distribution-free chain ladder…
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Chain Ladder / BF Uncertainty

The Prediction Error of Bornhuetter/Ferguson

Risk Management > Reserving
05/2008
Together with the Chain Ladder (CL) method, the Bornhuetter-Ferguson (BF) method is one of the most popular…
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Bounds on the estimation error in the Chain-Ladder method

Risk Management > Reserving
05/2007
Buchwalder et al. have illustrated that there are different approaches for the derivation of an estimate for…
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It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate…
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The variability of chain ladder reserve estimates is quantified without assuming any specific claims amount distribution function.…
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A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to…
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Correlations

As reserving actuaries focus more on reserve ranges and less on point estimates, the question of how…
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