Actuarial Case Reserves – MuSigma Webinar March 2020

Coming Tuesday, March 3 2020 at 1:00p EST / 10:00a PST

Chris Gross presents the next installment of The MuSigma Webinar Series – “Actuarial Case Reserves”

Register at http://www.cgconsult.com/MuSigma

Description:

The use of case reserves in actuarial development triangles is ubiquitous. Many of the problems encountered in loss reserving stem from systematic changes and inaccuracies in the determination of case reserves. Case reserves currently serve two primary roles – to facilitate the appropriate settlement of each claim, and to provide financial information. These goals are intrinsically at odds with each other.

As a profession, we need to move beyond the use of subjectively determined case reserves to using case reserves that are more appropriate for loss reserving, that we have constructed directly, using objective claim and exposure information. During this session we will discuss how the separation of the dual roles of case reserves will benefit not only the actuaries in their reserving and pricing work, but also the claim settlement function.

About The MuSigma Webinar Series:

The MuSigma Webinar Series seeks to provide a forum for the presentation and discussion of topics relevant to today’s practicing actuaries, and to give actuaries another option when pursuing continuing education in organized activities.
It’s our goal each month to bring to the actuarial community a webinar and a speaker in order to provide topical, timely, and free access to quality continuing education opportunities.

The format will be

  • a participatory webinar in a one-hour format
  • focused on an opening period of content delivery by topic experts
  • followed by a Q&A / audience participation period where the presenter takes questions and comments from the virtual floor

You can register for each webinar at http://www.cgconsult.com/MuSigma.  There is no cost to attend.

Do you have suggestions for future webinar topics?  Would you like to volunteer to present a topic?  Contact Bret Shroyer at bret.shroyer@cgconsult.com.

Chris Gross Co-Authors Variance Journal Paper

Validation of minimum bias rate factors

Released in the December, 2018 issue of Variance Journal, Christopher Gross and Jonathan Evans co-authored a paper entitled Minimum Bias, Generalized Linear Models, and Credibility in the Context of Predictive Modeling.

Abstract: When predictive performance testing, rather than testing model assumptions, is used for validation, the need for detailed model specification is greatly reduced. Minimum bias models trade some degree of statistical independence in data points in exchange for statistically much more tame distributions underlying individual data points. A combination of multiplicative minimum bias and credibility methods for predictively modeling losses (pure premiums, claim counts, average severity, etc.) based on explanatory risk characteristics is defined. Advantages of this model include grounding in long-standing and conceptually lucid methods with minimal assumptions. An empirical case study is presented with comparisons between multiplicative minimum bias and a typical generalized linear model (GLM). Comparison is also made with methods of incorporating credibility into a GLM.

Download the full study directly from Variance Journal here.