28/29 Oct 2021
Macro-Level Actuarial Reserving
Actuarial reserving is one of the core activities of many actuaries, and crucial to any well-functioning insurance company. Typically, macro-level models are used for this task, which are triangle-based models that provide estimate of the expected value and/or the variance of the open reserve on a portfolio level. Hence, a proper understanding of these models is vital.
Organised by the EAA – European Actuarial Academy.
Attendees are encouraged to install R on their laptop, as the exercises will be done in this programming language (*). One can install R from https://www.r-project.org/. As the editor we’ll be using ‘RStudio’, which can be installed from https://www.rstudio.com/
(*) prior to the seminar, we will supply the participants with an exhaustive list of packages/libraries that need to be installed additionally to the above tools, as well as a description of how to install them.
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.
Purpose and Nature
Over time, the understanding of all the assumptions behind the typically used reserving models can have grown a bit stale, and more recent developments might not have percolated all the way to the day-to-day practice. This web session will help the participants to overcome this.
The most widely used deterministic macro-level models, such as the Chain Ladder and the Bornhuetter-Ferguson model, will be discussed in full detail during this web session, but also stochastic macro-level models, such as the OverDispersed Poisson model or ODP model for example, will be covered. This entails a proper freshing up of the underlying assumptions and how the model is estimated, but also checks on determining if the chosen model is appropriate for the data at hand, and under which circumstances one should go for one type of macro-level model or the other.
In this web training a detailed overview is provided of the aforementioned models and during the practical sessions, R code is provided on how to implement most of the discussed topics, hereby rendering the participants completely autonomous after the webinar.
During the seminar however, even if practical sessions will be organized, the main focus will be on the theory.