scholarly journals AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES

2014 ◽  
Vol 44 (3) ◽  
pp. 495-499 ◽  
Author(s):  
Eric Dal Moro ◽  
Joseph Lo
Keyword(s):  
Closed Form ◽  
Internal Models ◽  
Cape Cod ◽  
Best Estimate ◽  
To Come ◽  
Chain Ladder ◽  
One Year ◽  
The One ◽  
Best Estimates

AbstractIn the industry, generally, reserving actuaries use a mix of reserving methods to derive their best estimates. On the basis of the best estimate, Solvency 2 requires the use of a one-year volatility of the reserves. When internal models are used, such one-year volatility has to be provided by the reserving actuaries. Due to the lack of closed-form formulas for the one-year volatility of Bornhuetter-Ferguson, Cape-Cod and Benktander-Hovinen, reserving actuaries have limited possibilities to estimate such volatility apart from scaling from tractable models, which are based on other reserving methods. However, such scaling is technically difficult to justify cleanly and awkward to interact with. The challenge described in this editorial is therefore to come up with similar models like those of Mack or Merz-Wüthrich for the chain ladder, but applicable to Bornhuetter-Ferguson, mix Chain-Ladder and Bornhuetter-Ferguson, potentially Cape-Cod and Benktander-Hovinen — and their mixtures.

scholarly journals A Bayesian Internal Model for Reserve Risk: An Extension of the Correlated Chain Ladder

Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 125
Author(s):  
Carnevale Giulio Ercole ◽  
Clemente Gian Paolo
Keyword(s):  
Internal Model ◽  
Predictive Distribution ◽  
Solvency Ii ◽  
Risk Profile ◽  
Formula One ◽  
Life Insurer ◽  
Chain Ladder ◽  
One Year ◽  
The One ◽  
Traditional Approaches

The goal of this paper was to exploit the Bayesian approach and MCMC procedures to structure an internal model to quantify the reserve risk of a non-life insurer under Solvency II regulation. To this aim, we provide an extension of the Correlated Chain Ladder (CCL) model to the one-year time horizon. In this way, we obtain the predictive distribution of the next year obligations and we are able to assess a capital requirement compliant with Solvency II framework. Numerical results compare the one-year CCL with other traditional approaches, such as Re-Reserving and the Merz and Wüthrich formula. One-year CCL proves to be a legitimate alternative, providing values comparable with the more traditional approaches and more robust and accurate risk estimations, that embed external knowledge not present in the data and allow for a more precise and tailored representation of the risk profile of the insurer.

THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED

2019 ◽  
Vol 49 (03) ◽  
pp. 787-821
Author(s):  
Alois Gisler
Keyword(s):  
Taylor Expansion ◽  
Distribution Free ◽  
First Order ◽  
Ladder Model ◽  
Run Off ◽  
Full Picture ◽  
Chain Ladder ◽  
One Year ◽  
The One

AbstractWe revisit the “full picture” of the claims development uncertainty in Mack’s (1993) distribution-free stochastic chain ladder model. We derive the uncertainty estimators in a new and easily understandable way, which is much simpler than the derivation found so far in the literature, and compare them with the well known estimators of Mack and of Merz–Wüthrich.Our uncertainty estimators of the one-year run-off risks are new and different to the Merz–Wüthrich formulas. But if we approximate our estimators by a first order Taylor expansion, we obtain equivalent but simpler formulas. As regards the ultimate run-off risk, we obtain the same formulas as Mack for single accident years and an equivalent but better interpretable formula for the total over all accident years.

A Checking Process for Life Assurance Reserves

1934 ◽  
Vol 4 (03) ◽  
pp. 163-177
Author(s):  
E. Olifiers
Keyword(s):  
North American ◽  
The Other ◽  
Life Assurance ◽  
The North ◽  
Gain And Loss ◽  
To Come ◽  
One Year ◽  
The One

The object of this paper is to draw attention to a process of checking the accuracy of the valuation results of any financial year from the preceding year's valuation results (the attained ages as at valuation date increasing by one year) by means of the elements which connect both valuations. These elements are the interest required to maintain the reserves, the net premiums, the reserves of the policies coming in and going out during the financial year, and the expected death strain. In the appendix to this paper the checking process has been applied to the revenue account for the year ending 31st December, 1921, given in Appendix B of Mr. C. Carpmael's paper in J.S.S. Vol. II, No. 2. The determination of the profit or loss from each source has been made on two different assumptions—namely, the one adopted by Mr. Carpmael, that the income and outgo are uniformly distributed over the year allowing half-a-year's interest at valuation rate and the other adopted in the North American gain and loss exhibit of the convention edition by which no allowance is made for half-a-year's interest for the two cases in which the policies are assumed to come in and go out at the beginning of the valuation year as done by Mr. Carpmael in his paper, and in the middle of the valuation year.

scholarly journals Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result

2009 ◽  
Vol 39 (1) ◽  
pp. 275-306 ◽  
Author(s):  
Hans Bühlmann ◽  
Massimo De Felice ◽  
Alois Gisler ◽  
Franco Moriconi ◽  
Mario V. Wüthrich
Keyword(s):  
Life Insurance ◽  
Solvency Ii ◽  
Mean Square ◽  
Conditional Mean ◽  
Loss Reserving ◽  
Chain Ladder ◽  
One Year ◽  
The One ◽  
Development Result ◽  
Recursive Representation

AbstractIn recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich.

Happy Birthday, Deakin Review!

2012 ◽  
Vol 2 (1) ◽  
Author(s):  
Robert Desmarais
Keyword(s):  
English Language ◽  
Book Publishing ◽  
University Of Alberta ◽  
Children's Book ◽  
Look Ahead ◽  
To Come ◽  
One Year ◽  
The One ◽  
The University

Dear Readers, This issue marks the one-year anniversary of The Deakin Review of Children’s Literature, and our reviewers and editors are delighted to report that well over 100 English language books have been reviewed. We’re thrilled that so many reviews have been shared with our readers and although we’ve only been around for a year, we’re optimistic that our publication will be around for years and decades to come. Indeed, our user statistics continue to grow each month and it is fascinating to see that our publication has a growing international readership. As I look ahead to the next year I know we’ll continue to publish thoughtful reviews of new titles from picture books to teen fiction, and we’ll expand our offerings to include an occasional interview with an author or illustrator. We’re considering other changes like themed issues, guest editorials, and articles, but our raison d’être will always be to publish high quality book reviews. Our publication is distinctive in that our reviewers are all librarians, library staff, and educators from the University of Alberta, and thanks to this fine team we are able to serve our readers with so much thought-provoking content about the world of children’s book publishing. I wish you all a restful break now that summer is upon us and children are out of school, and I hope you share our excitement for the abundance of charming books in this issue. Happy reading! Robert DesmaraisManaging Editor   

Global Surgery Hackathons: A Case Study From Pakistan

2021 ◽  
pp. 155335062110186
Author(s):  
Waqaas A. Butt ◽  
Amir Shariff ◽  
Sadaf Khan ◽  
Asad I. Mian
Keyword(s):  
Health Care ◽  
Research Study ◽  
Low Cost ◽  
Global Surgery ◽  
Innovative Solutions ◽  
To Come ◽  
One Year ◽  
The One ◽  
Multiple Domains

Background. Hackathons aim to solve problems in a selected field by bringing together people from multiple domains and combining their expertise. Global surgery is an emerging field with a huge burden of disease and massive implications for bettering health care. In this study, we describe the first Global Surgery Hackathon held in Pakistan and analyze the impacts of the hack and post-hack incubation. Methods. This research study used data collected from a Hackathon held at the Aga Khan University (AKU) in Karachi, Pakistan, and progress from the post-hack incubation teams. Data were collected from applications, from sign-in attendance, via evaluation forms, and milestone tracking of the incubation teams. A list of factors such as sectors addressed by winning projects and grants received was made. Results. The evaluations provided by the participants were positive, with mean scores of 4.00 (SD = .78) out of 5 on a Likert scale. Pitches made (n = 69, 68%) by the 109 participants were sorted into 5 categories: workplace, access, quality, safety, and design. Fifteen teams were formed, out of which 5 were accepted for incubation. All teams had a minimum viable product at the one-year mark. Conclusion. Hackathons are a reliable way to come up with effective solutions for targeted problems in various areas of health care and using the methodology of a Hackathon, a pool of low-cost, innovative solutions can be generated. These solutions can definitely impact health outcomes, especially for the field of global surgery. Further statistics should be collected to affirm the incubated solutions’ impact.

scholarly journals One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model

Risks ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 152
Author(s):  
Marcin Szatkowski ◽  
Łukasz Delong
Keyword(s):  
Simulation Study ◽  
Value At Risk ◽  
Risk Measure ◽  
Estimation Error ◽  
Individual Development ◽  
Emergence Pattern ◽  
Ladder Model ◽  
Chain Ladder ◽  
One Year ◽  
The One

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks with Value-at-Risk. The second goal is to estimate the true emergence pattern of the ultimate loss, i.e., the conditional distribution of the one-year loss given the ultimate loss, from which we can properly derive a risk measure for the one-year horizon from the simulations of ultimate losses. Finally, our third goal is to test if classical actuarial distributions can be used for modelling of the outstanding loss from the ultimate and the one-year perspective. In our simulation study, we investigate several synthetic loss triangles with various duration of the claims development process, volatility, skewness, and distributional assumptions of the individual development factors. We quantify the reserve risks without and with the estimation error of the claims development factors.

Resources: Internet Resources for the Independent Medical Evaluator – 2007

2007 ◽  
Vol 12 (4) ◽  
pp. 4-7
Author(s):  
Christopher R. Brigham ◽  
Jenny Walker
Keyword(s):  
Head Trauma ◽  
Clonic Seizure ◽  
Acute Subdural Hematoma ◽  
Orbital Fracture ◽  
Orbital Wall ◽  
First Occurrence ◽  
One Year ◽  
The One ◽  
Neurological Injuries ◽  
Medial Orbital Wall

Abstract Rating patients with head trauma and multiple neurological injuries can be challenging. The AMA Guides to the Evaluation of Permanent Impairment (AMA Guides), Fifth Edition, Section 13.2, Criteria for Rating Impairment Due to Central Nervous System Disorders, outlines the process to rate impairment due to head trauma. This article summarizes the case of a 57-year-old male security guard who presents with headache, decreased sensation on the left cheek, loss of sense of smell, and problems with memory, among other symptoms. One year ago the patient was assaulted while on the job: his Glasgow Coma Score was 14; he had left periorbital ecchymosis and a 2.5 cm laceration over the left eyelid; a small right temporoparietal acute subdural hematoma; left inferior and medial orbital wall fractures; and, four hours after admission to the hospital, he experienced a generalized tonic-clonic seizure. This patient's impairment must include the following components: single seizure, orbital fracture, infraorbital neuropathy, anosmia, headache, and memory complaints. The article shows how the ratable impairments are combined using the Combining Impairment Ratings section. Because this patient has not experienced any seizures since the first occurrence, according to the AMA Guides he is not experiencing the “episodic neurological impairments” required for disability. Complex cases such as the one presented here highlight the need to use the criteria and estimates that are located in several sections of the AMA Guides.

Catheter-directed foam sclerotherapy treatment of saphenous vein incompetence

VASA ◽  
2012 ◽  
Vol 41 (2) ◽  
pp. 120-124 ◽  
Author(s):  
Asciutto ◽  
Lindblad
Keyword(s):  
Saphenous Vein ◽  
Short Term ◽  
Foam Sclerotherapy ◽  
Results Of Treatment ◽  
Ulcer Healing Rate ◽  
Complete Obliteration ◽  
Ceap Classification ◽  
One Year ◽  
The One

Background: The aim of this study is to report the short-term results of catheter-directed foam sclerotherapy (CDFS) in the treatment of axial saphenous vein incompetence. Patients and methods: Data of all patients undergoing CDFS for symptomatic primary incompetence of the great or small saphenous vein were prospectively collected. Treatment results in terms of occlusion rate and patients’ grade of satisfaction were analysed. All successfully treated patients underwent clinical and duplex follow-up examinations one year postoperatively. Results: Between September 2006 and September 2010, 357 limbs (337 patients) were treated with CDFS at our institution. Based on the CEAP classification, 64 were allocated to clinical class C3 , 128 to class C4, 102 to class C5 and 63 to class C6. Of the 188 patients who completed the one year follow up examination, 67 % had a complete and 14 % a near complete obliteration of the treated vessel. An ulcer-healing rate of 54 % was detected. 92 % of the patients were satisfied with the results of treatment. We registered six cases of thrombophlebitis and two cases of venous thromboembolism, all requiring treatment. Conclusions: The short-term results of CDFS in patients with axial vein incompetence are acceptable in terms of occlusion and complications rates.

Regional household poverty and mobility analysis – a transition probability approach

2020 ◽  
Vol 63 (3) ◽  
pp. 286-302
Author(s):  
Damian Mowczan ◽  
Keyword(s):  
Transition Probability ◽  
General Level ◽  
Transition Matrices ◽  
Equivalent Unit ◽  
Central Statistical ◽  
Per Capita ◽  
Probability Matrices ◽  
General Mobility ◽  
One Year ◽  
The One

The main objective of this paper was to estimate and analyse transition-probability matrices for all 16 of Poland’s NUTS-2 level regions (voivodeship level). The analysis is conducted in terms of the transitions among six expenditure classes (per capita and per equivalent unit), focusing on poverty classes. The period of analysis was two years: 2015 and 2016. The basic aim was to identify both those regions in which the probability of staying in poverty was the highest and the general level of mobility among expenditure classes. The study uses a two-year panel sub-sample of unidentified unit data from the Central Statistical Office (CSO), specifically the data concerning household budget surveys. To account for differences in household size and demographic structure, the study used expenditures per capita and expenditures per equivalent unit simultaneously. To estimate the elements of the transition matrices, a classic maximum-likelihood estimator was used. The analysis used Shorrocks’ and Bartholomew’s mobility indices to assess the general mobility level and the Gini index to assess the inequality level. The results show that the one-year probability of staying in the same poverty class varies among regions and is lower for expenditures per equivalent units. The highest probabilities were identified in Podkarpackie (expenditures per capita) and Opolskie (expenditures per equivalent unit), and the lowest probabilities in Kujawsko-Pomorskie (expenditures per capita) and Małopolskie (expenditures per equivalent unit). The highest level of general mobility was noted in Małopolskie, for both categories of expenditures.

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