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AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES

Dal Moro, Eric ; Lo, Joseph

In: ASTIN Bulletin, 2014, vol. 44, no. 3, p. 495-499

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    Titre
    • AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES
    Auteur
    • Dal Moro, Eric. Chief Reserving Actuary SCOR Switzerland
    • Lo, Joseph. Head of Actuarial Research and Development, Aspen, London, UK E-Mail: Jo.Lo@aspen.co
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • ASTIN Bulletin, 2014, vol. 44, no. 3, p. 495-499. Cambridge University Press
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:304331
    Summary
    In the industry, generally, reserving actuaries use a mix of reserving methods to derive their best estimates. On the basis of the best estimate, Solvency 2 requires the use of a one-year volatility of the reserves. When internal models are used, such one-year volatility has to be provided by the reserving actuaries. Due to the lack of closed-form formulas for the one-year volatility of Bornhuetter-Ferguson, Cape-Cod and Benktander-Hovinen, reserving actuaries have limited possibilities to estimate such volatility apart from scaling from tractable models, which are based on other reserving methods. However, such scaling is technically difficult to justify cleanly and awkward to interact with. The challenge described in this editorial is therefore to come up with similar models like those of Mack or Merz-Wüthrich for the chain ladder, but applicable to Bornhuetter-Ferguson, mix Chain-Ladder and Bornhuetter-Ferguson, potentially Cape-Cod and Benktander-Hovinen — and their mixtures