The Summer 2014 – Volume 2 edition of the CAS E-Forum contains five reserves papers written in response to a call for papers issued by the CAS Committee on Reserves (CASCOR).
“Combining Estimates,” by Tom Struppeck, provides a methodology for combining two or more estimates into a single estimate.
In “The Analysis of ‘All-Prior’ Data,” Mark Shapland states that there isn’t a defined methodology to analyze “All-Prior” data or for testing the reasonability of current methods used. The paper illustrates the data issues and analysis, and applies concepts of a well-known data method with three different data sets.
“The Use of GAMLSS in Assessing the Distribution of Unpaid Claims Reserve,” by Giorgio Alfredo Spedicato, Gian Paolo Clemente, and Florian Schewe, applies Generalized Additive Models for Location Scale and Shape (GAMLSS) to triangles coming from the National Association of Insurance Commissioners’ loss triangle databases in order to assess the distribution of unpaid loss reserve in term of the best estimate as well as distributional form. The results of GAMLSS are then compared with those of classical stochastic reserves approach.
Peng Shi and Brian Hartman’s report, “Credibility in Loss Reserving,” proposes using the credibility theory in the context of stochastic claims reserving. Based on the framework of Bayesian linear models, they show that the development factor in the classical chain-ladder setting has a credibility expression. In the empirical analysis, they examine loss triangles for the line of commercial auto insurance from a portfolio of insurers in the US. They employ a hierarchical model for the specification of prior and show that prediction could be improved through borrowing strength among insurers based on a hold-out sample validation. This paper was recognized as the winner of the Ronald Bornhuetter Loss Reserve Prize for the best paper to come out of the call.
Rajesh Sahasrabuddhe’s paper, “Applying Credibility Concepts to Develop Weights for Ultimate Claim Estimators,” provides a new quantitative approach for estimating ultimate claim and claim expense amounts. This paper was recognized as the runner-up for the Ronald Bornhuetter Loss Reserve Prize.
Three of the papers were presented at the recent Casualty Loss Reserve Seminar. The authors’ presentation slides are available through the CLRS interactive program guide.
CASCOR recently announced its second call for non-technical papers on practical reserving topics. The goal of this program is to foster the sharing of practical ideas between actuaries that can be used on a day-to-day basis and readily explained to others. Authors of accepted papers may be invited to present their work at the 2015 CAS Annual Meeting and will have their paper electronically published in the CAS E-Forum. Proposals are due by November 14, 2014.
If you attended a call paper session from the 2014 Casualty Loss Reserve Seminar or have read any of the papers in the Summer 2014 – Volume 2 edition of the CAS E-Forum, please comment on this post and provide feedback.