Actuarial Policy Reserves – MuSigma 2021-10

Speakers: Chris Gross – Gross Consulting

The P&C insurance industry has long used unearned premium reserves and IBNR reserves to make provision for claims that have not yet been reported. However, these aggregate reserves are NOT particularly useful for monitoring results across a portfolio of accounts. By moving to the use of Actuarial Policy Reserves for internal analytical purposes, significant improvements are made to the pricing, reserving and managing of insurance. Chris will discuss the benefits of using such policy-level reserves, as well as techniques for building them.

Better Internal Management Reporting for P&C Insurers – MuSigma 2021-08

Speakers: Chris Gross, Kevin Madigan – Gross Consulting

In this webinar, Chris and Kevin will share a vision of internal management reporting that aims for timely, actionable, focused information to the management of the organization across any meaningful dimension of the business. The actuary/modeler is critical to this vision through the development of actuarial case reserves and policy IBNR reserves, as well as the development of underwriting expense models.

The Complement of Credibility in Predictive Modeling (Intentional or Not) – MuSigma 2021-07

Speaker: Chris Gross

Sometimes the concept of partial credibility is explicitly considered when predictive models are being built, for example through shrinkage methods or by insertion of credibility adjustments into a Baily Minimum Bias algorithm. More often, the concept of credibility is treated in a binary manner, with individual model parameters found to be either statistically significant (credibility = 1) or not (credibility = 0).

Whether credibility is explicit or implicit, understanding the complement of credibility is important and has real-world implications for model construction. This presentation will focus on this key actuarial concept and how it is often overlooked, with negative real-world consequences.

A Primer on Federal Crop Insurance – MuSigma 2021-06

Speaker: Tim Davis, Gross Consulting


Federal Crop insurance is an unusual and seldom visited corner of the Property Casualty Insurance Market.  And yet, this $10 billion industry has become a cornerstone of US Farm Policy and offers a myriad of diverse and interesting challenges for actuaries to overcome.

This MuSigma presentation will present a brief history of the Federal crop insurance program; outline the major goals of the program; demonstrate how coverage is established and rated; and discuss the unique characteristics of the risks, interactions of public and private entities, and reinsurance arrangements which drive underwriting and actuarial decisions.


10 Reasons Why Every Actuary Should Know Python – MuSigma 2021-04

Speakers: Jeff White and Alex Walrath, Gross Consulting


In 2021, Excel remains the tool of choice for actuaries.  Most actuarial processes and analyses are managed in our many, complex spreadsheets.  We often stretch the limits of this tool, and why not, you might ask?  Excel is very versatile and user friendly.

In this age of digital everything and copious amounts of data, we believe the time is right to expand your toolkit.  But to what?  There are many competing and compelling choices.  But as the title suggests, we think the time is right to commit to Python.  This webinar will cover 10 reasons why Python should be your second tool and include practical demonstrations of Python in use.

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Individual Claim Development Models and Detailed Actuarial Reserves in Property-Casualty Insurance

Individual Claim Development Models and Detailed Actuarial Reserves in Property-Casualty Insurance


Actuarial reserving techniques using aggregated triangle data are ubiquitous in the property casualty insurance industry. By instead starting with the modeling of individual claim behavior using predictive modeling techniques and a modeling framework that describes the full life cycle of a claim, there are numerous benefits including greater reliability of reserve estimates, faster recognition of underlying mix changes, and avoidance of problems in pricing due to differences in development. Component development and emergence models used in conjunction with simulation of currently outstanding claims and simulation of claims still yet to be reported form an alternative framework for generating estimates of reserve need. Algorithmic case reserves at the claim level and algorithmic IBNR estimates at the policy level, actuarially determined and designed to be unbiased, provide valuable information for downstream analyses, a bridge to the generally accepted triangle reserving paradigm, and a means for demonstration of reliability for actuarial purposes.

Author: Chris Gross – Chief Executive Officer at Gross Consulting


Towards A Holsitic Approach for Managing Reserve Risk – MuSigma 2021-03

Speaker: Kevin Madigan, Gross Consulting


“Reserve risk” is a complicated concept, meaning different things to different stakeholders. Corporate actuarial and finance departments focus on the variability around the estimated mean of the liabilities and the likelihood that claims emergence will be significantly different from the selected accounting entries – and its impact on surplus. Pricing actuaries and underwriters focus on the risk that the expected underwriting experience may be misestimated due to misestimation and misunderstanding of similar recent underwriting experience. Capital modelers focus on the tail of the liability distributions to identify capital charges and assess capital adequacy. Claims departments focus on legal or operational risks associated with claims handling procedures.

So, some clarity is called for when actuaries use the phrase “reserve risk”. One interesting observation that arises from the above distinction is that “managing reserve risk” is also in the eye of the beholder. In this webinar Kevin will discuss how a clear understanding of an insurer’s claims, underwriting, and actuarial capabilities coupled with a clearly articulated and practical risk appetite framework can help insurers reduce the likelihood of unexpected reserve development, and help them arrive at an underwriting strategy that is more likely to produce a portfolio whose risk characteristics are aligned with corporate goals.



Get the Most Out Of Your Test Data – MuSigma 2021-02

Speakers: Chris Gross, Gross Consulting


The data not used in parameterizing your model is very valuable. Unleash the value in the out-of-sample data in both its validation and test roles. Chris will discuss the following approaches:

      -Bootstrap samples to provide statistical tests of the difference between alternative models, without assuming an underlying distribution

-Measurement not only of the fit at a granular level, but also measurement of bias, most easily seen at an aggregated level

-Provide empirical distributions of residuals, capturing process, parameter, and model risk, and reflecting differences in the distribution across different variables. Use bootstrapping techniques to flesh out the distribution.