AS463_Lec08 - 1 ACTSC 463/863 Property and Casualty Loss...

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Unformatted text preview: 1 ACTSC 463/863 Property and Casualty Loss Reserving 2 Examples From Previous Calculate the ULAE reserve using both the traditional approach and the Kittel Refinement and the following information: CY 2010 Paid Losses 900 Total Reserves at 12/31/2009 9000 Total Reserves at 12/31/2010 10000 IBNR at 12/31/2009 3600 IBNR at 12/31/2010 4000 CY 2010 Paid ULAE 90 CY 2010 Incurred ULAE 210 3 Examples From Previous Using the Wendy Johnson technique for determining ULAE reserves, determine the weighted number of open claims for each future calendar year. Use the information below: AY Cumulative Reported Claims at 12/31/2009: 2007 45 2008 41 2009 40 End of Year % Reported % Closed 1 40% 30% 2 85% 60% 3 100% 85% 4 100% 4 Loss Development Using Credibility 5 Least Squares Development > Want to determine future development points using equations of the form ? = ? + ?? > Use historical data to solve for ? and ? >? = ¡? −¡? ¡ 2 −¡ 2 and ? = £ ¢ ¤ ?? > If ? is the loss at time ? then £ is the loss at time ? + 1¥ 6 Example Use the given information to calculate the ultimate losses for AY 2008 using least-squares. Assume the tail factor from 48 months to ultimate is 1.0375. AY 12 24 36 48 60 2006 100 120 130 140 145 2007 110 130 150 160 2008 120 140 150 2009 130 150 2010 140 7 Example ? = 140¡ ? = 155.5 ?? = 21,875 ?...
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AS463_Lec08 - 1 ACTSC 463/863 Property and Casualty Loss...

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