The Variance Prize for papers published in Variance volume 8 has been awarded to Jessica Leong, Shaun Wang and Han Chen, for their paper “Back-Testing the ODP Bootstrap of the Paid Chain-Ladder Model with Actual Historical Claims Data.”
The winning paper presents a back-test of a popular technique to obtain reserve distributions. By using the data from several hundred U.S. companies, spanning three decades, the authors show that the modeled distributions emerging from this technique can underestimate reserve risk. The paper examines the causes of this problem, and suggests two methods to address it by accounting for systemic risk.
The Variance Prize honors original thinking and research in property/casualty actuarial science and is awarded to the author or authors of the best paper published in each volume year. To be eligible, a paper must show original research and the solution of advanced insurance problems.
The judges noted that “the contribution of this paper is the focus on reserve risk and the importance of the systemic risk component, which component cannot be discerned using a static point-in-time reserve triangle.” The paper was also recognized for the significance and relevance of its subject matter.
Jessica Leong, FCAS, FIAA, is a predictive analytics execution lead at Zurich Insurance. In this role, she works with the business, ensuring effective execution on predictive analytics projects. Prior to working in predictive analytics, Leong has had roles in capital modeling and reserving. Most recently, Leong was the lead casualty specialty actuary at Guy Carpenter. She was also a consultant at Milliman in New York and Towers Watson in London. Leong is a Fellow of the Institute of Actuaries of Australia and a current board member of the Casualty Actuarial Society.
Shaun Wang, FCAS, CERA, is chairman of Risk Lighthouse LLC. Previously, he was deputy secretary general and head of research at the Geneva Association (2013-2015) and pricing actuary and research director at SCOR Reinsurance (1997-2004). He was professor of actuarial science at Georgia State University’s Robinson College of Business (2004 2013), assistant professor at the University of Waterloo (1994-1997) and Condordia University (1993-1994). Dr. Wang holds a BS degree in mathematics from Peking University and a Ph.D. in statistics from the University of Waterloo.
Han Chen, FSA, ACAS, is lead analyst at Tokio Marine Technologies, where he is responsible for property and casualty reinsurance pricing/reserving tool development and emerging risk study. Prior to joining Tokio Marine Technologies, he led a research team in conducting P&C industry cycle-related analysis and other nontraditional actuarial research for Risk Lighthouse. Chen has a bachelor’s degree in mathematics from Fudan University in China and master’s degrees in actuarial science and mathematical risk management from Georgia State University.
The winning paper is published in Variance volume 8, number 2.
