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  #1  
Old 09-28-2017, 10:18 PM
tallnut tallnut is offline
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Default Reserving tips?

I haven't done a whole lot of reserving work, but when I do a reserving project with a more senior actuary, I find it frustrating that there seems to be so much hand waving in the process. One actuary I used to work with used mysterious goal seeks to target completion factors. I guess this is the "art" in actuarial science?

Picking trends, credibility, cf averaging periods etc all seems so arbitrary to me, yet I always seem to get it wrong. Does just about anything fly as long as you can justify it? What do you look at when you set reserves?
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Old 09-29-2017, 12:27 PM
tommie frazier tommie frazier is offline
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I look at the CAS text on reserving methods and the ASOPS on reserves.

that said, broad judgment is allowed yes.
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Old 09-29-2017, 12:32 PM
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It takes a lot of experience and knowledge to get comfortable with it. Comparing old selections against how experience played out can help give you that comfort. Say you are picking for a 3 year tail product, go back to the triangles 2 years ago, look at the selections made, what would you have chosen, then look at the triangles today for those incurred dates and how the experience actually turned out.
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Old 09-29-2017, 12:43 PM
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I wouldn't be shy to ask the more senior actuary what they are looking at specifically with respect to the manual changes. For more recent months, manual changes are analogous to estimating a fully-incurred claim trend, and we know how much judgment there is there.

I also recommend Chapter 37 of "Group Insurance".
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Old 09-29-2017, 04:44 PM
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The ChainLadder package vignette provides a lot of good background of various methods (and how to set reserves using the package).
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Old 10-02-2017, 12:33 AM
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I came away from health reserving believing it was 99% automatable and all the hand-waving magic that went on had no real value at all.

YMMV.
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Old 10-02-2017, 12:27 PM
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That is probably true. After all, the process is merely making an estimate of short-term liabilities, most of which will be realized in the next two months. And since no one really knows what the claims will turn out to be, make a good, educated guess that can be defended with what you know at the time.

Every so often, check your educated guess with realities. Be able to explain why your guess was wrong, if it's very wrong. Be able to explain why your guesses are always wrong the same direction, and fix it if it is fixable.
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  #8  
Old 10-25-2017, 05:27 PM
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Given the short time horizon, I am not surprised by finding absolutely no research papers on estimating reserve variability for A&H.

Am I missing something?
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Old 10-25-2017, 05:29 PM
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Quote:
Originally Posted by tallnut View Post
Reserving tips
I don't reserve for tips. Should I?
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Old 10-25-2017, 06:22 PM
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Quote:
Originally Posted by echo View Post
I don't reserve for tips. Should I?
Is the amount material?
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