AS463_Lec02

# AS463_Lec02 - ACTSC 463/863 Property and Casualty Loss...

This preview shows pages 1–11. Sign up to view the full content.

1 ACTSC 463/863 Property and Casualty Loss Reserving

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
2 Development Triangles
3 Exercises > Calculate the CY 2007 incurred losses > Calculate the runoff in 2006 > Derive the RY incurred loss triangle Claim Snap Shot 2005 2006 2007 2008 Claim # Acc Date Rep Date Paid Case Paid Case Paid Case Paid Case 1 12-Jan-05 12-Apr-05 200 300 500 200 700 0 700 0 2 10-Mar-05 12-Apr-05 0 1000 0 1000 800 500 800 500 3 01-Nov-05 30-Jan-06 0 500 500 0 500 0 4 13-Feb-06 14-May-06 600 0 600 0 600 0 5 01-Dec-06 01-Mar-07 150 350 300 0 6 16-Jan-07 16-Apr-07 320 100 400 0 7 05-May-07 28-May-07 0 450 0 550 8 29-Jul-07 21-Aug-07 400 100 400 100 9 13-Sep-07 06-Oct-07 0 1000 0 1000 10 05-Jun-08 28-Jun-08 500 500

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
4 Solutions ?±2007 = 2370 + 1100 − 600 + 2500 − 2200 = 3170 °??²³³ 2006 = ´±2005 µ? 2006 = 700 Incurred Triangle RY/DY 12 24 36 48 2005 1500 1700 2000 2000 2006 1100 1100 1100 2007 2870 2750 2008 1000
5 Common Triangles > ??°± > ??²³ ´?µ²µ?¶±°¶? > ·¶¸?¹¹³± = ??°± + ??²³ ´?µ²µ?¶±°¶? > º³»¼¹µ³± ?½?°¾ ?¼?¶µ² > ?½¼²³± ?½?°¾ ?¼?¶µ² > ´»³¶ ?½?°¾ ?¼?¶µ² = º³»¼¹µ³± − ?½¼²³± > ¿?¹¶³± À¼²² º?µ°¼ = ÁÂÃÄÅÅÆÇ ÈÉ ÊËÅÂÆÇ ÌÅÆÍ > ??°± − µ¼ − ·¶¸?¹¹³± = ÌËÎÇ ÁÂÃÄÅÅÆÇ > ?½¼²³± − µ¼ − º³»¼¹µ³± = ÈÏÐÑÆÇ ÒÆÓÐÅÔÆÇ

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
6 Common Triangles > °???±²? ?±³´ = µ¶·¸ ¹º?»¼¸ > °???±²? ½¾¿À???´ = ÁÂÃÄÅÅ¼¸ Æ¼Ç?ÅÈ¼¸ > °???±²? É±Ê? = ¹¶»¼ ËÇ¼Â
7 Triangle Diagnostics

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
8 Diagnostics - Paid > Growth in book? > Claim deterioration? > Rate of settlement? Accident Year 12 24 36 48 60 72 84 96 108 120 2000 9,963 22,052 28,799 33,078 36,230 38,920 40,597 41,866 42,466 43,471 2001 8,966 20,810 26,581 30,660 32,798 34,243 36,302 37,766 40,494 2002 8,272 20,316 25,102 28,122 31,064 33,540 36,164 39,367 2003 8,755 16,754 20,719 23,704 26,925 30,351 32,457 2004 5,559 14,197 19,415 23,282 28,624 32,334 2005 7,260 19,115 27,020 33,300 39,040 2006 8,626 30,671 45,235 53,797 2007 14,305 44,924 62,035 2008 19,323 60,057 2009 26,034
9 Diagnostics - Incurred > Growth in book? > Claim deterioration? > Rate of settlement? > Case strengthening? Accident Year 12 24 36 48 60 72 84 96 108 120 2000 61,308 48,529 48,609 48,302 48,512 48,809 50,399 50,936 51,186 52,119 2001 45,314 40,353 38,142 37,826 38,565 39,469 41,285 43,630 44,135 2002 36,566 34,412 33,061 34,556 36,336 40,546 41,570 42,069 2003 33,804 27,736 29,823 31,605 35,173 36,074 36,092 2004 28,415 27,781 29,657 34,648 37,101 37,076 2005 42,399 41,075 46,552 52,263 54,852 2006 52,838 64,693 67,769 75,499 2007 66,955 82,524 90,873 2008 79,705 101,549 2009 90,441

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
10 Diagnostics – Paid to Incurred > Rate of settlement? > Case reserve weakening?
This is the end of the preview. Sign up to access the rest of the document.

## AS463_Lec02 - ACTSC 463/863 Property and Casualty Loss...

This preview shows document pages 1 - 11. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online