Peril-based reserving an update Alex Marcuson, Marcuson Consulting - - PowerPoint PPT Presentation

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Peril-based reserving an update Alex Marcuson, Marcuson Consulting - - PowerPoint PPT Presentation

Mar 29, 2024 162 likes •707 views

Peril-based reserving an update Alex Marcuson, Marcuson Consulting Ltd www.marcuson.co GIRO Conference 2016 Workshop D6 Thursday 22 September 2016, 15:45 16:45 30 September 2016 Reserving Who cares? 30 September 2016 What makes

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Peril-based reserving – an update

Alex Marcuson, Marcuson Consulting Ltd www.marcuson.co GIRO Conference 2016 Workshop D6 Thursday 22 September 2016, 15:45 – 16:45

30 September 2016

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Reserving – Who cares?

30 September 2016

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What makes you use a method?

30 September 2016 3

How widely used is method? Lots Not much How much attention does the method require? “ Give it to a grad” Help!

Parodi Mack ODP ACPC Chain ladder

Double Chain Ladder

B-F

Inflation methods

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Thinking in three dimensions

30 September 2016 4

Perils Exposure dynamics

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Thinking in three dimensions

30 September 2016 5

Perils Exposure dynamics

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Thinking in three dimensions

30 September 2016 6

Perils Exposure dynamics Emerging experience

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Thinking in three dimensions

30 September 2016 7

Perils Exposure dynamics Pricing Models Emerging experience

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What makes a good model?

30 September 2016 8

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Breaking down the claims process

30 September 2016 9

Exposure Claim event Coverage Loss notification (Re-) Valuation Payments Claims inflation Price inflation Policyholder behaviour Claims processes Legal changes Claimant behaviour Portfolio mix Other effects Political Economic Social Technological Environmental Legal

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Loss simulation – what not to do

30 September 2016 10

2 4 6 8 10 0.6 0.8 1.0

Incurred Run 14.1

Development period Cumulative amount 2 4 6 8 10 0.2 0.6 1.0

Paid Run 14.1

Development period Cumulative amount 2011 50000 150000

Claim development

Date Cumulative amount Incurred Paid 2011 2012 20000 50000

Claim development

Date Cumulative amount Incurred Paid

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