When the CAS Committee on Reserves (CASCOR) initiated the 2015 Non-Technical Reserves Call Paper Program in November 2014, its ultimate goal was to foster the sharing of practical ideas among actuaries that can be used on a day-to-day basis and readily explained to others. The call paper program encouraged authors to focus on presenting ideas in a logical manner accessible to other actuaries and professionals with experience in reserving.
The results of the program are six papers published in the Fall E-Forum. CASCOR is pleased to offer brief summaries of each paper below. The first five of these papers will be presented at the 2015 Annual Meeting in Philadelphia, November 15 through 18.
“Accident Year/Development Year Interactions” by David R. Clark, FCAS, MAAA and Diana Rangelova, ACAS, MAAA — Winner of the 2015 Ronald Bornhuetter Loss Reserve Prize for best paper
This paper explores the reasons development patterns can change over time and surveys relevant literature on methods addressing this phenomenon. Clark and Rangelova include suggestions for future research that could improve reserving techniques.
“The Actuary’s Role in a Risk-Focused Statutory Examination” by Alan M. Hines, FCAS
This paper provides guidance to actuaries who are preparing for or assisting with a statutory financial examination. Hines gives an overview of how examiners assess risk and describes the phases of the risk-focused exam, with the aim of preparing actuaries to assist with the risk assessment process and develop risk-focused testing plans for loss reserves.
“Interpolation Hacks and their Efficacy” by Lynne Bloom, FCAS, MAAA
Bloom applies various interpolation methods to actual data and compares their performance. This paper lays out a variety of methods for actuaries to use and describes an additional process to account for unique situations, such as seasonal fluctuations in claim activity.
“Premium Deficiency Reserve Evaluation for Mortgage Insurers” by David Kaye, FCAS, MAAA
Kaye provides practical guidance on evaluating premium deficiency reserves for mortgage insurers. The paper also includes a brief discussion of the premium deficiency accounting considerations for mortgage insurance.
“Reserving Styles — Are Actuaries In-Sync with their Stakeholders?” by Mark Littmann, FCAS, MAAA
Littmann looks at changes in accident year loss ratios as the accident year ages. He focuses specifically on the differing perspectives amongst various stakeholders on how to modify the initial selections when actual experience diverges from expectations. The paper highlights certain implications of common actuarial methods and offers insight on the notion of a reserving cycle akin to an underwriting cycle. The investigation provides a framework for dialogue among stakeholders to the reserving process.
“Movement Analysis” by Andy Staudt, FIA, FCAS, MAAA
This paper provides simple formulas that decompose the change in ultimate loss estimates from one period to the next into two parts: the change due to loss experience and the change due to changes in assumptions or methods.
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CASCOR recently announced the 2016 Reserves Call Paper program. There’s still time to get proposals in by the November 20 deadline. For details about this year’s program, visit http://www.casact.org/press/index.cfm?fa=viewArticle&articleID=3033.
Denise Ambrogio is chief reserving actuary for Munich Re America Inc. in Princeton, New Jersey. Julie Lederer is a property & casualty actuary for the Missouri Department of Insurance in Jefferson City.
