General Insurance Spring Seminar

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General Insurance Spring Seminar
abcd

• Friday 21 May 2004, Staple Inn Hall

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Background
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Initial Questions for the working party

• Is there a reserving cycle in the UK?
• What causes it?
• How does it affect the various actuarial methods?
  How can we fix them?
• How do we prepare for the soft market?

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Reserving Cycle - UK annual business
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Reserving Cycle - UK annual business
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Reserving Cycle - UK funded
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What causes the reserving cycle?

• Actuaries?
• Management?
• Something Else?

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Analysis of Chain Ladder Methods
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Analysis of Chain Ladder Methods
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Questions

• Is there a problem with the chain ladder method?
• How can we adjust it to improve our estimates?
• Are there other methods that we can use?

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Rating indices
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Rating indices
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Rating indices
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Questions

• How can we develop rating indices which allow for
  the full amplitude of the underwriting cycle?
• Is there a rule of thumb we can use to make rate
  indices more accurate?
• If we do have a perfect rate index, is the
  problem solved?

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Bornhuetter - Ferguson
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Bornhuetter - Ferguson
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Bornhuetter - Ferguson
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Questions

• If we have a problem obtaining reliable chain
  ladder factors and...
• If we cannot get a reliable rate index
• Should we be relying on the Bornhuetter-Ferguson
  technique to reflect the underwriting cycle?

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Summary so far

• There is a Reserving Cycle in the UK and it
  tracks the underwriting cycle
• We may need to adjust the chain ladder method to
  deal with the reserving cycle
• Premium rate indices may understate the amplitude
  of the underwriting cycle
• We may need to adjust the Bornhuetter-Ferguson
  method to deal with the reserving cycle.