Actuarial Outpost P/C Triangular Work and Curve Fitting
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#1
01-04-2018, 11:35 AM
 fastcount Member Join Date: Sep 2011 Posts: 148
P/C Triangular Work and Curve Fitting

Hello,

Could anyone on the P/C side provide a brief overview of how triangular work and curve fitting are used at your work for reserving?

Feel free to just post links to articles that summarize this.

FastCount
#2
01-04-2018, 11:39 AM
 Abelian Grape Meme-ber                         Meme-ber CAS Join Date: Jul 2014 Posts: 41,438

There are plenty of papers on this, although should be approached differently when interpolating between points or extrapolating a tail.

Here's a couple:
http://www.variancejournal.org/issues/08-01/9.pdf

https://www.casact.org/pubs/forum/03fforum/03ff041.pdf
#3
01-04-2018, 11:56 AM
 examsarehard Member CAS Join Date: May 2011 Posts: 558

Here's another which builds off of Clark's paper:

https://www.casact.org/pubs/forum/08fforum/7Guszcza.pdf
#4
01-10-2018, 10:45 AM
 fastcount Member Join Date: Sep 2011 Posts: 148

Thank you for the papers guys, they're long and super detailed.

I'm trying to find something more digestable and more high level if that makes sense, I'll keep looking. I interviewed somewhere, and their biggest knock on me was that I didn't have any experience working with triangles, so I'm trying to learn a thing or two about that. If the only way to learn about that is through these long and detailed (and boring) papers, then that's what I'll have to do.
#5
01-10-2018, 10:48 AM
 Gabriel Member CAS AAA Join Date: Mar 2007 Location: New York, NY College: New York University Posts: 214

Most reserving software does this pretty standard.
#6
01-10-2018, 11:02 AM
 Wigmeister General Member CAS Join Date: May 2003 Location: Beverly Hills off Canon Drive Favorite beer: Ringnes Posts: 18,318

linear interpolation applied to iceberg method.

Given:
12 months to ultimate - 10%
24 months to ultimate - 20%

15 months to ultimate = 9/12 * 10% + 3/12 * 20%

You can use other interpolation methods (cf papers referenced above)
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#7
01-10-2018, 01:03 PM
 yoyo Member CAS Join Date: Dec 2001 Posts: 22,118

study the papers and learn the material
#8
01-10-2018, 01:15 PM
 JMO Carol Marler Non-Actuary Join Date: Sep 2001 Location: Back home again in Indiana Studying for Nothing actuarial. Posts: 37,428

Quote:
 Originally Posted by fastcount Thank you for the papers guys, they're long and super detailed. I'm trying to find something more digestable and more high level if that makes sense, I'll keep looking. I interviewed somewhere, and their biggest knock on me was that I didn't have any experience working with triangles, so I'm trying to learn a thing or two about that. If the only way to learn about that is through these long and detailed (and boring) papers, then that's what I'll have to do.
Welcome to the long and boring world of actuarial work.
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#9
01-10-2018, 04:10 PM
 bjc2142 Member CAS Join Date: Aug 2014 Location: Boston Studying for nothing for fall '18 Favorite beer: Asahi Draft Posts: 736

Is this for experienced hire position? If it's for EL or internship, that's kinda weird question to be asked. Triangle Q to someone with P/C internship may be fair game but curve fitting?
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#10
01-15-2018, 05:48 PM
 fastcount Member Join Date: Sep 2011 Posts: 148

I'm an experienced hire. That's OK though, I just found out that I didn't get the job.