Chapter 13 Reinsurance Loss Reserving - Patrik

\(\star\) Know the 7 problems of reinsurance reserving

1. Longer claims report lag

2. Persistent upward development of most claims reserves

3. Reporting pattern differ greatly

4. Industry statistics not useful

5. Reports received lack important information

6. Data coding and IT system problems

7. Reserve to surplus ratio is higher for reinsurer

• General theme: Heterogeneity, low frequency & high severity, lack of detailed (exposure & claims) information, longer lag

Know the components of reinsurance reserve

Four steps of setting reinsurance reserve:

• Partition \(\Rightarrow\) Development Patterns \(\Rightarrow\) Estimate \(\Rightarrow\) Monitor and AvE

• \(\star\) Partition priority

• Considerations for short vs medium vs long tail lines

  • \(\star\) SB method and how to adjust the premium

    • Shortcut on getting all year IBNR

  • \(\star\) credibility weighted method

    • Weight is \(Z_k = p_k \times CF\)

    • Weighting the reserve for \(CL\) and \(SB\)

• AvE