1 / 13

Adjustments to the B-F Reserving Method 1999 Casualty Loss Reserve Seminar

Adjustments to the B-F Reserving Method 1999 Casualty Loss Reserve Seminar. September 14, 1999 Ted Dew. Adjustments to the B-F Reserving Method. Agenda Background The Adjustment Some Formulas Examples. Considerations:. Opinions expressed are mine alone

hide
Download Presentation

Adjustments to the B-F Reserving Method 1999 Casualty Loss Reserve Seminar

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Adjustments to the B-F Reserving Method 1999 Casualty Loss Reserve Seminar September 14, 1999 Ted Dew

  2. Adjustments to the B-F Reserving Method • Agenda • Background • The Adjustment • Some Formulas • Examples

  3. Considerations: • Opinions expressed are mine alone • Judgment should supercede ANY formula • Application may be limited • Credibility measure is judgmental

  4. London Market and Bermuda Reinsurance Reserving • Pricing Information Not Readily Available • ELRs Selected Based on Judgment • Ultimate Loss Ratios Volatile • Reporting Patterns Volatile • Payment Patterns Slow and Unreliable

  5. Motivation • Desire to formalize alternative projection of ultimate losses • Prior ultimate loss selection would seem to have some value in selecting current a priori estimate of expected losses

  6. Last Year’s Selected Ultimate Last Year’s Initial Expected

  7. What should be used for the a priori loss estimate? What are the implications of this adjustment?

  8. Bornhuetter - Ferguson Formula • The BF Method Combines Actual Reported Losses and Expected Unreported Losses • This can also be thought of as a credibility weighting between the Loss Development Method and the Expected Loss Method

  9. Adjusted Bornhuetter - Ferguson Formula • Almost a credibility weighting of ILDM, SULt-1, and ELMt-1

  10. What is an appropriate Y? • Suggest Y is a function of the Reporting Pattern from prior analysis

  11. Sample Adjusted Expected Loss Ratios Using Alternative Credibility Measures

  12. Adjusted Bornhuetter - Ferguson Example Questions Good bye

More Related