Measuring Changes in Inflation: A Non-Technical Discussion of Two Techniques

The session will present two approaches to modeling inflation and its variability. One approach uses a spline to smooth a severity index. The other approach measures the variability in a triangle associated with cyclical changes in the severity trend.

  • Date:Tuesday, September 14
  • Time:2:15 PM - 3:30 PM EDT
  • Session Type:Concurrent Session
  • Session Code:AR-5
  • Learning Objective 1:How to measure the reserving cycle.
  • Learning Objective 2:How to organize loss reserving data as a periodic sequence.
  • Learning Objective 3:How to separate the signal from the noise in a Fourier analysis of loss reserving data.
  • Learning Objective 4:Describe what a smoothing spline it, and its optimization objective.
  • Learning Objective 5:Understand the role of tuning parameter lambda of a smoothing spline.
  • Level of Knowledge:Level 1: No prior knowledge of the subject
  • Moderator:Greg Fears
David Clark
Munich Re America Services, Inc.
James Ely, FCAS
Convolved, Inc
Chao Guo
Munich Re America Services, Inc.