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. The data in each case consisted of Paid Losses(PL), Incurred Losses (IL) and Outstandings (OS) a.k.a. Case Reserve Estimates or CREs. There was usually one or more exposure vectors and in some cases considerable additional information relating to claim counts and costs at closure. In all cases a brief verbal description of the line of business was also given.

The exercise was thus designed to determine the predictivity and responsiveness of reserving methods as new data became available in the next few year.

The full report is available here.

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.

Click here for the Institute of Actuaries UK Working Party page which talks about the research project and mentions ICRFS-Plus™ as one of the "reserving methods" to be tested.

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. The data in each case consisted of Paid Losses(PL), Incurred Losses (IL) and Outstandings (OS) a.k.a. Case Reserve Estimates or CREs. There was usually one or more exposure vectors and in some cases considerable additional information relating to claim counts and costs at closure. In all cases a brief verbal description of the line of business was also given.

The exercise was thus designed to approximate the experience of an actuary working with limited data and having to refine their understanding in stages as they gained a deeper historic overview of claims developments.

The full report is available here.