Reserve Risk using Ultimate Loss Triangles

Yu Shi Feng, TransRe

This session is intended for P&C practitioners with a focus on reserve risk.

A new methodology will be introduced to assess reserve risk using ultimate loss triangles. The methodology is based on two papers Rehman and Klugman (2010) and Siegenthaler (2018). This methodology will be compared with other popular deterministic methods such as Mack and Merz-Wuthrich. Additional discussions include strength and weaknesses of each method and practical pitfalls.

Date:Monday, March 9
Time:1:30 PM - 2:20 PM
Location:Sunset
Session Type:Concurrent Session
Session Code:CS17
Audience Level:2
Learning Objective 1::To learn about a new reserve risk methodology
Learning Objective 2::Assess the strength and weaknesses of this methodology

Downloads

pptx Reserve Risk using Ultimate Triangles - Andy Feng (PDF).pdf (1.06 MB)

Speakers

Yu Shi Feng

TransRe

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