The following collection of articles and papers provide background to the technical basis of Insureware's modelling approaches. Case studies, where applicable, demonstrate how these modelling principles apply in practice.
Brochures covering these topics (and more) can be found here.
Solvency II for long tail liabilities
- Critical information required for Solvency II calculations
- One year risk horizon
- Ultimate year risk horizon
- Consistent estimates of prior accident year ultimates and Solvency II metrics on updating
- IFRS 4 Phase II
- Variation in estimates of prior accident year ultimates conditional on the next calendar year
ICRFS™ is essential for Solvency II solutions for long-tail liabilities. It is the only product that calculates the required risk metrics necessary for Solvency II calculations.
Traditional methods, even with Mack and the bootstrap, are incapable of delivering the risk metrics needed.
- Introduction to the bootstrap
- The need for diagnostic assessment of bootstrap predictive models
- Assessing bootstrap predictive distributions two practical examples
- How to calculate the bootstrap for the Mack method
- Correlations and linearity
- Common misconceptions with correlated lognormals
- Common drivers versus correlations
- Best Estimates for Reserves
- Published paper
- The Extended Link Ratio Family (ELRF) and Probabilistic Trend Family (PTF) modelling frameworks
- Modelling multiple lines of business, segments, and layers
- Loss reserve upgrades
- Do regular reserve upgrades really imply under-reserving?
- Will your next reserve increase be your last?
- Claims reserving methodologies
- When do link ratios apply?
- How can accident years be regarded as development years?
- Pricing and reserving multiple excess layers
- How to distinguish variability from uncertainty
- Economic inflation scenario generators and calendar year trends
- Investment returns and inflation models
- One year look ahead statistics
- Why is ICRFS-Plus™ so fast?
- Predictive aggregate claims distributions
- Outward reinsurance of long-tail liabilities - some surprising findings
The following pdf contains a set of lecture notes on credibility written by Ben Zehnwirth.
The study guide forms background material for a lecture on credibility given at the 1991 CAS Seminar on Ratemaking held on March 14-15 in Chicago, Illinois.
The notes have grown out of a number of sets of lecture notes prepared for statistical and actuarial courses at Macquarie University and the University of Copenhagen. They are intended to provide an introductory set of lectures on the subject of credibility and its intimate connections with linear regression, Bayes estimation, and recursive estimation.
Average link ratio methods can be formulated as regression estimators. A Buhlman-Straub credibility model is formulated for each link ratio regression model that facilitates the development credibility formulae for link ratios.
It is also shown that there are better formulae for adjusting link ratios than those based on Buhlmann- Straub.
GI ROC reserving study - Effectiveness of reserving methods working party
Insureware has co-authored two reports for Reserving Methods Working Party in 2008 and 2009. A brief synopsis follows for each years' report.
Report for GI ROC 2009
In 2009 the General Insurance Reserve Oversight Committee (GI ROC, UK) initiated a research project on the effectiveness of reserving methods.
As part of this actuaries were invited to respond to a practical survey in which they would analyse and forecast a randomly provided dataset drawn from real company data using any combination of a number of pre-given standard methods.
The procedure was set up in Excel spreadsheets which were specially designed so that the data was presented in stages corresponding to annual reports. In the initial stage there was historic data for ten years and only after fully formulating a reserving procedure and forecasts on the basis of this level of historic experience was the participating actuary given the following two year's data.
Report for GI ROC 2008
In 2008 the General Insurance Reserve Oversight Committee (GI ROC, UK) initiated a research project on the effectiveness of reserving methods.
As part of this actuaries were invited to respond to a practical survey in which they would analyse and forecast one of eight datasets (A-H) drawn from real company data using any combination of a number of pre-given standard methods.
The procedure was set up in Excel spreadsheets which were specially designed so that the data was presented in stages corresponding to annual reports. In the initial stage there was historic data for six years and only after fully formulating a reserving procedure and forecasts on the basis of this level of historic experience was the participating actuary given the following year's data. This continued for between three and five stages depending on the dataset.
Sarbanes-Oxley and actuarial methods
Casualty Actuarial Society (CAS) argues that in order to comply with Sarbanes-Oxley, the current actuarial methods are not sufficient.
Better information using more rigorous analyses of loss reserving must be provided to senior management and boards of directors.
The collapse of HIH
Insureware wrote a number of documents, articles, and reports on the collapse of HIH. Read more here.