Claim-Level Reserving: From Theory to Practice

In this session we will review individual claims reserving models from their mathematical foundations to their practical use.

We will start by a critical study of the current reserving approach based on aggregate triangles, focusing on the advantages and drawbacks for both pure reserving deterministic estimation and stochastic assessment of the volatility. Then, we will provide an overview of the panel of parametric and non-parametric individual claims reserving models available in the actuarial literature, and discuss the potential gains in using such methods as well as the challenges to implement them in practice. Case studies will be presented on different P&C portfolios. Basic knowledge on standard reserving methods is required.

  • Date:Monday, September 13
  • Time:1:00 PM - 2:15 PM EDT
  • Session Type:Concurrent Session
  • Session Code:AR-1
  • Learning Objective 1:Get updated on classical challenges of current reserving approach based on aggregate triangles.
  • Learning Objective 2:Gain an understanding of various claim-level reserving models.
  • Learning Objective 3:Understand the benefits and potential challenges of the claim-level reserving models when implemented in practice.
  • Level of Knowledge:Level 2: General knowledge of the subject
  • Moderator:Alex Chen
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