Triangles Reimagined

This workshop will focus on the use of Actuarial Case Reserves to solve many of the problems with triangle development (changes in mix, settlement rate, and case adequacy). By using predictive modeling techniques to develop objective algorithms for these reserves, reserving triangles can be re-built to be much more reliable and transparent (think Berquist-Sherman, but with a scalpel instead of a chainsaw). While the approach makes use of individual claim development models, framing the results back into triangles provides demonstration of the resulting algorithm’s effectiveness and stability. Benefits of using these algorithmic reserves extend not only to creating estimates of total reserve need, but to actuarial pricing work as well.

While the focus of this half-day workshop will be on the creation and use of Actuarial Case Reserves, we will also discuss the concept of Policy-Level IBNR reserves as an additional triangle layer, reflecting estimated not-yet-reported claims.

No prior predictive modeling experience is necessary, but there will be two hours of pre-work to maximize the effectiveness of time spent during the workshop itself. Users will be provided access to temporary Azure workstations for a week prior to the workshop until a week after the workshop so that they can continue to explore these concepts with the sample data and tools provided.

  • Date:Wednesday, September 15
  • Time:1:30 PM - 5:00 PM EDT
  • Session Type:Half-Day Workshop
  • Session Code:WS-4
  • Learning Objective 1:Understand the value of using algorithmic claim-level case reserves and policy-level IBNR reserves within traditional actuarial reserving and pricing techniques.
  • Learning Objective 2:Understand the basics of building an actuarial case reserve algorithm using detailed claim and policy data.
  • Learning Objective 3:Understand how to apply an actuarial case reserve algorithm to historical data and to use it in actuarial practice.
  • Level of Knowledge:Level 2: General knowledge of the subject
  • Moderator:Debbie King
Christopher Gross, ACAS
Gross Consulting
Steven Lacke, FCAS
Gross Consulting