Casualty Actuarial Society

2013 Casualty Loss Reserve Seminar

VR-3
Stochastic Reserving Today and (Mostly) Tomorrow

Monday, September 16, 2013: 10:45 a.m.
Arlington Room (Boston Marriott Copley Place)
Generally speaking, stochastic methods have been absent from the toolkit used by most actuaries.  There are a number of reasons for this, including the limitations of linear methods being applied in a non-linear world.  Rather than looking at such linear methods, this session will look at stochastic approaches applied to non-linear models.  In one case, maximum likelihood (the same technique underlying linear regression) is used to directly estimate parameters of several non-linear models currently in common use in loss reserving, including the traditional Chain Ladder and the Cape Cod.  In the other case, Bayesian approaches are presented, further freeing the reserving actuary from restrictions presented by most traditional stochastic approaches.
Moderator: Roger Hayne, Principal & Consulting Actuary, Milliman

Speakers

Presentation 1
Roger Hayne, Principal & Consulting Actuary, Milliman
Handouts
  • 2013 CLRS Hayne.pdf (400.4 kB)
  • Presentation 2
    James Guszcza, National Predictive Analytics Lead, Deloitte Consulting LLP
    See more of: Conference Program