Peril-based reserving and claims simulation

Alex Marcuson presented on the work that his Peril-based reserving working party has been carrying out.  This presentation was given at the annual GIRO Conference, this year held during September in Dublin.

After providing a recap of some of the material delivered at previous GIRO Conferences, and the challenges that had been identified at that stage, Alex set out the formalised system developed to simulate loss data.  This system provides a framework against which new and existing reserving techniques can be compared against a series of performance criteria and under a range of typical scenarios.

We see this research providing a platform for the emergence of more robust criteria for evaluating reserve risk and the delivery of collections (or lines) of data sets upon which future actuarial research can build.  Please contact us if you would like to obtain a copy of the initial sets of simulated loss data for beta testing.

GIRO 2016 Workshop D6 Slides