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Reserving with Scenarios

Reserving with Scenarios. Doug McKenzie Sheldon Rosenberg Gabriel Shtern. Casualty Actuaries in Reinsurance June 15-16, 2000. Effects by Daniel McKenzie. Reserving with Scenarios What’s the Issue?. Loss sensitive features make reserving hard AADs Loss Corridors Slide Commissions

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Reserving with Scenarios

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  1. Reserving with Scenarios Doug McKenzie Sheldon Rosenberg Gabriel Shtern Casualty Actuaries in Reinsurance June 15-16, 2000 Effects by Daniel McKenzie

  2. Reserving with ScenariosWhat’s the Issue? • Loss sensitive features make reserving hard • AADs • Loss Corridors • Slide Commissions • Profit Sharing • Non-traditional deals are particularly hard • Possibility of Commutation • Multi-Year

  3. Reserving with ScenariosWhat Are Some Solutions? • Approximate • e.g. treat E[underlying L] to deal terms • Reprice • Reserving with Scenarios

  4. Reserving With ScenariosThe General Idea • Use scenarios developed for pricing • The right answer is probably in there somewhere • Revise scenario probabilities to reflect new info • The scenarios themselves remain the same

  5. Reserving with ScenariosTwo Key Steps 0 - At pricing, we estimate cedent’s E[L] & s 1 - Given experience, re-estimate cedent’s E[ L ] & s 2 - Revise probabilities to match cedent’s E[ L ] & s • Use those probabilities to estimate our E[ L]

  6. Reserving with ScenariosWhat’s Next? • Store pricing scenarios in reserving system • Perform loss sensitive commission and premium accruals with RWS • Use Extended BF on all treaties for another estimate of reserve range

  7. Reserving with ScenariosAny Questions?

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