Session Information
CAS Annual Meeting 2010
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Stochastic Loss Reserving — the Good, the Bad and the Ugly: Retrospective Tests for Stochastic Loss Reserve Formulas
Track
:
Monday, November 8, 2010
Program Code:
C-23
Date:
Monday, November 8, 2010
Time:
2:00 PM to 3:30 PM
EST
Location:
Senate
MODERATOR
:
Glenn G. Meyers, Vice President and Chief Actuary, ISO
PANELIST
(S):
Jessica Leong, Lead Casualty Specialty Actuary, Guy Carpenter & Co., LLC
Peng Shi, Assistant Professor, Northern Illinois University
Description
The output of a stochastic loss reserve formulas is a predictive distribution of outcomes. This session will describe how to test the predictive distribution of a loss reserve formula against the actual outcomes as reported in Schedule P of the NAIC Annual Statement. The tests will be applied to several stochastic loss reserve formulas from the outcomes of several insurers for the Personal Auto and the Commercial Auto lines of business.
Audio Synchronized to PowerPoint
(Code: C-23)
Attendee:Free
Non-Attendee $25 USD - Your Price
This session is a part of: