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Old 11-29-2018, 05:28 PM
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Default Reserving Question for CAS folks

A new project has crossed my desk from a new client (international).

Essentially, we need to do a complete overhaul of their P&C reserving, which is all done in excel.

How common is this in P&C for a medium sized carrier?
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Old 11-29-2018, 05:34 PM
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Quote:
Originally Posted by The_Polymath View Post
A new project has crossed my desk from a new client (international).

Essentially, we need to do a complete overhaul of their P&C reserving, which is all done in excel.

How common is this in P&C for a medium sized carrier?
That's where we were, until 5-6 years ago. It's probably more common than you think, but getting less common.

It's not like P&C triangles are so complicated that doing it in Excel is a crazy process, assuming you aren't holding all your data there, too. The big things you are missing out on are flexibility to try new things, and the potential for spreadsheet errors to creep in.

(And it's "foolish consistency...")
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Old 11-29-2018, 05:38 PM
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Depends on what "overhaul" means. "Overhaul" could mean "we're moving it out of Excel, we're putting it into some piece of software for increased robustness." One past company, one person was put in charge and made the workbook so incredibly and unnecessarily complex [it would qualify for the "Excel file nightmares" thread], this person was kept around because they were the only individual in the company who understood how it worked. When said person finally got cut loose for poor job performance [among other things], management finally had to bite the bullet and require a total rebuild of the reserving templates.
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Old 11-29-2018, 05:44 PM
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Essentially, It looks like they want us to move their entire reserving process into a modelling platform.

I have seen excel abused on the Life side before, but its the first time I have seen it in P&C (they also had a bootstrapping ODP variant with VBA code as well that made the workbooks enormous).
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Old 11-29-2018, 05:52 PM
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What do you mean by "done in excel"?

The triangle analysis is done in excel?
The triangles are built in excel then analysis is also done in excel?
what does "medium sized" mean?

I work for a small insurer:
-someone in IT designed some algorithm from our databases and they build the triangles for us.
-However, sometimes I build my own triangles for sublines in excel. Usually capped triangles or excess triangles. These are very low credibility triangles. i just build them to visually see what's going on.
-we're odd though, because we rebuild the triangles from scratch every quarter, as opposed to adding a diagonal. this is because as a professional liability shop, there are a lot of movements, especially in occurrence.
-I do all my analysis in excel
-at my prior employer, what I would call "medium" at that time (about 800m in prem), they'd do all the analysis in some package (Reserve Pro, way back then). IIRC Every quarter new diagonals were uploaded manually from IT-supplied reports.
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Old 11-29-2018, 05:59 PM
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About €600m Premium (which would classify it as a medium sized carrier I think)

They have their data in SQL, and via queries they export the necessary data into excel.

After that they segment their data into the usual LOBs based on attritional, large, and historical claims experience.

Once they have that, they do everything else in excel.

i.e. they create paid run-off triangles, and run all the reserving processes (both deterministic and stochastic) in one excel book. One giant macro controls all of it.
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Old 11-29-2018, 06:04 PM
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I'm assuming that they just add new diagonals onto triangles, not rebuild from scratch?

If not, then that sounds unwieldy.

eta: either way, sounds messy. why not get the SQL queries to do all the work?
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Old 11-29-2018, 06:14 PM
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That is one of the things I am going to be looking at as it is a relatively easy fix. Probably haven't updated their coding and improved their processes for a long time.
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Old 11-29-2018, 06:24 PM
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Quote:
Originally Posted by The_Polymath View Post
A new project has crossed my desk from a new client (international).

Essentially, we need to do a complete overhaul of their P&C reserving, which is all done in excel.

How common is this in P&C for a medium sized carrier?
Do you mean how common is it for reserving analysis to be done in Excel?

Or how common to turn over their reserving to a life actuary with no p&c qualifications?

Or how common to have a "fully qualified" life actuary doing grunt data/IT work, which is what this assignment sounds like?
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Old 11-29-2018, 06:39 PM
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I do the design work and planning.

Then I delegate the work to my minions.

P&C Reserving work is not complex, plus what they need is a modelling expert (me) with non-life knowledge (me) to plan the model.

We dont have the SOA/CAS separation that you have in the US. Once you're qualified, that's that. Then its up to you to decide whether or not you have the necessary skills to help your client.
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