The Art and Science of Actuarial Loss Reserving — From Then to Now by Greg Taylor
One of the largest items on an insurance company’s balance sheet, often the largest, is the loss reserve, the liability for future claim costs for which the company is already obligated. It isn’t possible to operate a risk business without a thorough understanding of its liabilities. Modern insurance businesses rely on reserve models to:
- establish bottom-line profit for each accounting period;
- price new business effectively;
- report to relevant statutory authorities;
- understand the risk associated with the estimates of liability; and
- manage the capital commitment to the business of its owners.
Loss reserving methodology has evolved over 50 years or so, from models of a strictly heuristic nature in the early years to properly formulated stochastic models more recently, and has evolved further in the very recent past into machine learning models. Loss reserving is often viewed as a necessary evil, divorced from the excitement of the marketplace, and dull in nature. Greg Taylor shows you that the statistical processes underlying it, and the associated modelling challenges, can lead you down stimulating by-ways.
In this masterclass, Greg traces the history of actuarial loss reserving and reserve risk management from its crude beginnings to the much more sophisticated present, looking at methodological developments and the reasons for them. If you wish to understand these developments, and learn of models that address complex reserving situations, then you need to watch this masterclass. Greg offers solid theoretical background, relevant case studies and practical tips for anybody grappling with ways to support reliable analysis of claim data.
Greg offers a solid theoretical background, relevant case studies, and practical tips to support reliable claim data analysis for anyone grappling with complex reserving situations. The session concludes with a Q&A, providing an opportunity for in-depth discussion..
Speaker:
Greg Taylor
Greg Taylor is an Adjunct Professor in the School of Risk and Actuarial Studies at University of New South Wales (Sydney, Australia). Greg Taylor was a founding director of Taylor Fry Consulting Actuaries, where he acted as a consultant for 15 years. Prior to the foundation of that company in 1999, he worked as an actuary in the finance and insurance industry for 30 years, and a further 8 years as an academic. He is an Officer of the Order of Australia, and recipient of one of the only two Gold Medals ever awarded by the Actuaries Institute of Australia. He also holds the Finlaison Medal (Silver Medal) of the UK Institute and Faculty of Actuaries. He specialises in the theory of Insurance Loss Reserving, and has authored two books, and co-authored a third, on the subject. One has been translated into Japanese. He has lectured and held research positions in many academic and industry institutions in Europe and the North America.
Moderators:
Ronald Richman
Ron is an experienced actuary and risk manager, and has recently founded insureAI, a new actuarial software and consulting firm. Before this, Ron was Chief Actuary at Old Mutual Insure, responsible for actuarial oversight of all P&C business within the Old Mutual Group. He has held several other senior roles, including Managing Head of Insurance Actuarial at SA Taxi and Associate Director at QED Actuaries and Consultants, Africa’s largest independent actuarial consulting firm, where he was responsible for client work on life and general insurance clients and performing research into applications of machine learning and AI to actuarial and insurance topics. Prior to these, he led the Enterprise Risk Management and Actuarial Functions for the AIG group within Africa
Brian Fannin
Brian Fannin has been an actuary for over 20 years. The data lack sufficient credibility for him to give a more precise estimate. Brian has been an Associate of the CAS since 2002 and a Certified Specialist in Predictive Analytics (CSPA) since 2017. He has worked in a variety of roles in commercial insurance, both primary and excess, here in the US as well as Europe, London and Asia. He has taught various workshops and seminars on R and is the author of the book “R for Actuaries and Data Scientists”, published by Actex. He currently works for Milliman, supporting their Arius loss reserving software.
These webinars are complimentary and anyone can register using either time slot below We do encourage you to join the ASTIN Section to view Greg's complete The Art & Science of Actuarial Loss Reserving Masterclass as well as other ASTIN Masterclasses.