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  #11  
Old 12-15-2017, 07:03 PM
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This is a re-post from software-technology applicable to reserve modeling, trend modeling and enterprise risk.

If you are curious, videos for (actuarial/machine learning) Excel web apps: 1.) stochastic trend volatility 2.) stochastic reserve can be found at www.ihaconsultants.com.

Microsoft extended Office functionality via introduction of "web apps" in Excel 2013. The over use of the phrase "web apps" is terribly confusing to most people and also to developers.

"Web app" in current Microsoft Office development terminology, means extending functionality by providing a web service (html,css) data exchange mechanism which can interact with data on the worksheet or any other office application etc. Typical examples include some sort of look-up of simple external data which is brought into the Excel workbook via "web app."

By adding python script capability on server side, richer functionality [(function, data) rather than just "data" ] becomes available using Excel as user interface via web app feature. This is separate and distinct from Excel's current extension: VBA , dll and .Net(HPC).
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  #12  
Old 12-16-2017, 11:57 AM
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Originally Posted by tallnut View Post
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?
To some extent the level of "precision" is false, I think. Hand-wavey or not, the reserve estimate can vary wildly.

Most actuaries I've encountered, even FSAs, have a meh-to-okay understanding of the methodology they use.

Here's an example... we have this block where the first lag exhibits somewhere between 30-50% completeness historically. Not very credible, but we usually assign some credibility as a matter of practice. However, that CF correlates strongly with the magnitude of the first lag.

In other words, the 30% months just happen to have come in lower at first, and vice versa, with almost no correlation to the ultimate amount. Our actuaries will typically say "okay, 40%" and apply that blindly. I suggested one month that since the first lag came in low, at least tend closer to 30% in your CF choice.

Things like that.

I'm pretty sure our model doesn't eliminate large claims from the CF or link ratio development. oops.

I've also seen another block used as a proxy for new, developing, or unstable blocks. I've seen the pricing PMPM (less capitation, etc) used as the blending target.

There's a lot of legitimate "art" to it.
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  #13  
Old 12-16-2017, 12:34 PM
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Yeah, but it is more Jackson Pollock than Da Vinci.

Seasonal PMPM's for that first lag are probably the best (most unbiased) estimate. There was a Contingencies article several years ago about it.

Large claims usually don't get paid in the first lag. They usually need a few signatures, and that takes time. But, if you can find a way to get wind of them during the signing off process, that's a good thing. One issue stopping this is privacy rules. Company is not going to want to have a list of high claims-in-process floating around the company with personal information.
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  #14  
Old 12-18-2017, 08:10 AM
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Large claims usually don't get paid in the first lag. ... One issue stopping this is privacy rules. Company is not going to want to have a list of high claims-in-process floating around the company with personal information.
I did a lot of Health care reserving work and worked close to the case managers at a point in my career. We attempted to reserve for some of the large claims. It worked pretty well. And yes, we'd have to keep on the down-low about HIPPA concerns. Basically the claims were premature baby's, certain transplants and blood disorders.
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  #15  
Old 12-18-2017, 12:42 PM
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  #16  
Old 12-18-2017, 01:37 PM
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I did a lot of Health care reserving work and worked close to the case managers at a point in my career. We attempted to reserve for some of the large claims. It worked pretty well. And yes, we'd have to keep on the down-low about HIPPA concerns. Basically the claims were premature baby's, certain transplants and blood disorders.
I have had a similar experience. Given the smallish balance sheet at that company, knowing about large claims ahead of time was crucial.
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  #17  
Old 12-18-2017, 02:31 PM
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Does anyone here hold additional reserves during flu season? I always thought the additional time spent on estimating/trackin flu specific claims, beyond seasonality, was a bit over the top. It guaranteed a few people a job though. There were cool studies on medical management of flu shots and what it did to the costs/trends that I am glad I was a part of. Helped me learn something useful so I shouldn't complain.
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  #18  
Old 12-18-2017, 06:04 PM
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I'm supposed to start reserving next month. My instructions have been vague:

Smooth out PMPM outliers
"Look" at seasonality
Avoid taking big hits or releases that could be reversed next month

I took all those exams for this?
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  #19  
Old 12-18-2017, 06:24 PM
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Originally Posted by LOLAND View Post
I'm supposed to start reserving next month. My instructions have been vague:

Smooth out PMPM outliers
"Look" at seasonality
Avoid taking big hits or releases that could be reversed next month

I took all those exams for this?
Do you know how to do those things in your "instructions"?
How did you learn them (assuming you do know).
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  #20  
Old 12-18-2017, 07:25 PM
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Originally Posted by LICENSED TO ILL View Post
Does anyone here hold additional reserves during flu season? I always thought the additional time spent on estimating/trackin flu specific claims, beyond seasonality, was a bit over the top. It guaranteed a few people a job though. There were cool studies on medical management of flu shots and what it did to the costs/trends that I am glad I was a part of. Helped me learn something useful so I shouldn't complain.
One would have to assume that the upcoming (or, for IBNR, the recent past) months' flu claims will be (or will have been) worse than those included in seasonality factors of the past.

I'm guessing someone up top would direct those in the trenches to add something to claims estimates. Or, simply add it on top after getting the detail-level estimates.

Also, how and when does one eventually release those artificially (though valid) increased reserves? The additional claims will get paid eventually.

It would be a pretty neat study, separating members by whether they received flu shots or not. Question then becomes how do we KNOW they didn't get a flu shot? I mean, I got a shot at work for free. That won't be found in the claims. That would have to be captured somehow. So, what about the other potentially millions of members who don't have a flu shot claim?
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