Peril-based reserving an update Alex Marcuson, Marcuson Consulting - PowerPoint PPT Presentation

Peril-based reserving – an update Alex Marcuson, Marcuson Consulting Ltd www.marcuson.co GIRO Conference 2016 Workshop D6 Thursday 22 September 2016, 15:45 – 16:45 30 September 2016

Reserving – Who cares? 30 September 2016

What makes you use a method? Help! Parodi How much attention ACPC does the Inflation method methods require? ODP B-F Chain Double Mack Chain ladder “ Give it to a grad ” Ladder Not much Lots How widely used is method? 3 30 September 2016

Thinking in three dimensions Perils Exposure dynamics 4 30 September 2016

Thinking in three dimensions Perils Exposure dynamics 5 30 September 2016

Thinking in three dimensions Perils Emerging experience Exposure dynamics 6 30 September 2016

Thinking in three dimensions Perils Pricing Models Emerging experience Exposure dynamics 7 30 September 2016

What makes a good model? 8 30 September 2016

Breaking down the claims process Claim Loss (Re-) Exposure Payments event notification Valuation Legal Claims Coverage Policyholder behaviour changes inflation Portfolio Claimant Price Claims processes mix behaviour inflation Other effects Political Economic Social Technological Environmental Legal 9 30 September 2016

Loss simulation – what not to do Incurred Run 14.1 Claim development 150000 Cumulative amount Cumulative amount 1.0 Incurred Paid 0.8 50000 0.6 0 2 4 6 8 10 2011 Development period Date Paid Run 14.1 Claim development 1.0 Cumulative amount Cumulative amount Incurred 50000 Paid 0.6 20000 0.2 0 2 4 6 8 10 2011 2012 Development period Date 10 30 September 2016