December 2007

Two bootstrapping articles have been written. A short summary on bootstrapping and the Mack method. A longer, more detailed discussion on the diagnostic assessment of bootstrap predictive models is available in the technical section of this website.

May 2007

New unique reinsurance application of the MPTF modelling framework

The ICRFS-Plus™ MPTF module can be used to calculate retrospective (and prospective) reinsurance with different attachment (limit) points for policy (accident) periods. Correlations between all cells are used when calculating means, standard deviations and percentiles. Different attachment points can also be applied across future calendar periods and policy (accident) periods.

Further details are available here.

February 2007

ICRFS-Plus™ 10.2 uneven sampling periods extends applications

Loss development arrays can now be specified with more frequent valuation dates than accident periods. For example, arrays can be specified with annual accident periods and monthly development and calendar periods.

This new feature results in two important applications.

More regular reserve valuations

Reserve valuations can be conducted and monitored on a quarterly basis, for example, even though the accident period is a 12 month period.

Valuations of short tail lines such as disability and health insurance

Disability and health insurance could be monitored and evaluated on a monthly basis, say, even though the accident periods are full year or part year periods.

The monitoring process is simple and provides critical information for cash flow projection.

Older (2006) news is available here.