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Alexa Weber
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Decks in this class (15)
Mack - Benktander
Benktander reserve is a credibility weighting of the CL and BF reserve
8
cards
Hurlimann
Hürlimann uses expected incremental loss ratios to specify the payment pattern instead of using LDFs calculated directly from the losses. We can calculate a credibility-weighted estimate of the individual and collective reserves that minimizes the MSE of the reserve estimate.
21
cards
Brosius
Brosius introduces the Least Squares method for estimating loss reserves and compares this method to the traditional Chain Ladder and the Budgeted Loss (Expected Loss) methods. The key theme of this paper is that the Least Squares method is a credibility weighting of the Link Ratio (Chain Ladder) and Budgeted Loss methods.
20
cards
Friedland
Reinsurance
33
cards
Clark
The focus of Clark is to create develop a loss reserving model that estimates a central loss reserve estimate (with the LDF or Cape Cod method) and can calculate the variance of the reserve estimate. Instead of using LDFs directly, we’re going to fit a curve, G(x), to incremental losses using MLE in order to get the best-fitting parameters. Then, we’ll use this curve to estimate the payment pattern (from 0% to 100%) as an accident year matures.
23
cards
Mack - Chain Ladder
The goal of this paper is to use the chain ladder method to create a confidence interval around the ultimate loss and estimated loss reserve.
19
cards
Venter Factors
Venter takes a look at the three key Mack assumptions underlying the chain ladder method and identifies six ways to test those assumptions. If the assumptions hold, then the chain ladder method gives the minimum variance unbiased linear estimator of future loss emergence.
22
cards
Shapland
The goal of the bootstrap model is to create a full distribution of possible loss reserve outcomes, not just a point estimate or the mean and variance like in the Mack (1994) approach. It does this by sampling residuals from the original loss triangle to create simulated loss triangles, one for each iteration in the simulation. Then, an estimated loss reserve is calculated for each iteration.
36
cards
Siewert
The typical loss reserve methods are appropriate for ground-up losses. Siewert focuses on different methods that can be used to estimate unpaid loss reserves for different layers of losses, such as limited losses or losses above a high deductible. One of the main challenges Siewert addresses is how to calculate LDFs that are consistent between unlimited, limited and excess layers.
18
cards
Sahasrabudde
The goal of this paper is to show the relationship between loss trend, a claim size (severity) model and cumulative loss development factors. With this relationship, we can adjust CDFs from a “base” layer to another layer and from one cost level to another.
14
cards
Teng & Perkins
Teng and Perkins focuses on how to estimate the premium asset for retrospectively rated policies. The key to this method is the relationship between loss development and premium development (the PDLD ratios).
23
cards
Meyers
Why do models fail to accurately ...,
Test 1 histogram 2,
Test 2 plot kolmogorov smirnov k ...
32
cards
Taylor
Notation 1,
Bf method 2,
Cape cod method 3
23
cards
Verrall
Advantages of bayesian models 1,
Mack model 2,
Over dispersed poisson odp model 3
14
cards
Marshall
Current approaches to assessing r...,
Determining covs 2,
Populating the correlation matrix 3
29
cards
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Exam 7
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