Pragmatic Stochastic Reserving

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.