Lukas Ehlers, Shuaib Ghoor
18 October 2017 | 10:15 – 11:15 | Bill Gallagher Room
Relevant practice area(s):Short-term Insurance
Suggested audience knowledge level: Intermediate
The methodology used to calculate reserves for Short-Term Insurers is greatly focused on projecting the future claims experience with reference to past claims experience. Changes to the external environment can impact the appropriateness of methods relying on past experience. Actuaries usually overcome this by making various manual adjustments to the data and/or assumptions based on judgement.
The paper will demonstrate a method for calculating the claims reserve in a way that not only takes past claims experience into account but also allows for changes in the external business environment. This method involves in quantifying the impact that each component of the environment has on the reserve through the use of Generalized Linear Models (GLMs).
We will also examine how the GLM based method compares to other actuarial triangulation approaches, including methods used to allow for changes in the external environment.