The objectives of the Pragmatic Stochastic Reserving Working Party are to:
- research the stochastic reserving methods available to general insurance reserving actuaries, and to agree upon a diverse selection of stochastic reserving techniques which will form the focus of the Working Party's subsequent efforts
- develop user-friendly explanations of the operational mechanics of each method
- identify the key explicit and implicit assumptions underlying each method
- assess the extent to which the underlying assumptions in each case are an adequate reflection of the real-world insurance environment, and the implications of any of the assumptions not reflecting reality
- identify and summarise the practical situations in which each method might be relied upon to give reasonable results, and the circumstances in which each method might potentially break down
- determine how each method should be used in a variety of commonplace practical situations, eg where there have been known disturbances in the patterns of claim development, individual large claims, etc.
- recommend how results might be selected from the outputs of different methods, how different methods might be preferred for different accident/underwriting years, how expert judgement might be applied throughout the process, and how methods and results might be effectively communicated to non-actuarial stakeholders
- document the Working Party’s findings and conclusions (including any recommendations for focus on further methods by subsequent iterations of the working party).
Outputs:
- A Practitioner’s Introduction to Stochastic Reserving - The One year view
- Technical Issues in General Insurance (TIGI) 2019: E1: Capital Workshop - Introduction to Stochastic Reserving
- GIRO 2017, Presentation title: “Parameterising emergence factors: how hard can it be?”
- CIGI 2016, Presentation title: “Pragmatic Stochastic Reserving: The One-Year View”
- GIRO 2015, Presentation title: “A Stochastic Bornhuetter-Ferguson Model”
- A practitioner's introduction to Stochastic Reserving
- Alternatively, view the 'living document' (the working version of the pdf)
- Practical challenges in reserve risk
- 2014 GIRO Presentation
- CIGI 2014
- Presentation at Reserving seminar 2014.
| Chair: | Robert Scarth |
|---|---|
| Membership: | 29 |
| Established: | 2013 |
Related documents
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Guidance for Member-Led Research Working Parties
9 November 2017
Contact Details
If you want more information about this research working party please contact the Communities Team.
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The role of actuaries within the health sector varies considerably from one country to another, due to differences in the local evolution of health systems and the funding models for health services. 
The IFoA Policy Briefing 'Can we help consumers avoid running out of money in retirement' examined the benefits of blending a lifetime annuity with income drawdown. Panellists, including providers and advisers, will look at the market practicalities of taking the actuarial theory through into the core advice propositions used by IFAs and Fund Managers. They will share a number of practical issues such as investment consequences before and after retirement and the level of annuity that is appropriate and answer questions from the audience.
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