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  #1  
Old 01-04-2018, 12:35 PM
fastcount fastcount is offline
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Default 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
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  #2  
Old 01-04-2018, 12:39 PM
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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
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Old 01-04-2018, 12:56 PM
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Here's another which builds off of Clark's paper:

https://www.casact.org/pubs/forum/08fforum/7Guszcza.pdf
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Old 01-10-2018, 11:45 AM
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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.
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Old 01-10-2018, 11:48 AM
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Most reserving software does this pretty standard.
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Old 01-10-2018, 12:02 PM
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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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Old 01-10-2018, 02:03 PM
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study the papers and learn the material
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Old 01-10-2018, 02:15 PM
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Quote:
Originally Posted by fastcount View Post
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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Old 01-10-2018, 05:10 PM
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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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Old 01-15-2018, 06:48 PM
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I'm an experienced hire. That's OK though, I just found out that I didn't get the job.
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