9 July 2020
The Pragmatic Stochastic Reserving Working Party has just released a new paper called "A Practitioner's Introduction to Stochastic Reserving: The One Year View". This paper builds on the working party's earlier paper on the ultimate view of reserve risk. The new paper presents an overview of stochastic reserving methods used for a one-year view of the risk, which is suitable both for those working at the coalface of reserving and capital modelling as well as more senior actuaries tasked with oversight of the process. It describes and discusses three commonly used methods for calculating one-year reserve risk: the Merz-Wüthrich formula, the Actuary-in-the-Box, and Emergence Patterns. In particular, the material on Emergence Patterns is developed in detail, as it has not been published in a unified form before.