Presentation at 17th East Asian Actuarial Conference

October 2013. Posthuma Partners to present "Stochastic loss reserving for General Insurance: a Gaussian approach" at the 17th EAAC, October 18th, 2013, Singapore.

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In this presentation we will introduce stochastic loss reserving for General Insurance based on the Gaussian distribution.  Basic properties of the Gaussian distribution make its application to loss reserving beneficial. These properties allow for flexible data handling, and make it possible to generate various predictions.  We will introduce a set-up of the parameters which makes it possible to model past and future loss periods integrally.  Based on this parameter set-up two specific loss reserving models will be discussed. First, a model for the combined analysis of paid and incurred runoff tables. Second, a model for the analysis of multiple, possibly dependent, runoff tables in a portfolio. The results of the application of these methods to an exemplary portfolio will be discussed. 

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For a copy of the presentation click here and for the article click here.

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