The second part of the course on nonlife insurance will be dedicated to IBNR and claims reserving techniques. The main reference is the textbook by Mario Wüthrich and Michael Merz (a preliminary version can be downloaded from http://actuaries.ch/…)
The first reference is Best Estimates for Reserves by by Glen Barnett and Ben Zehnwirth is available online http://casact.org/pubs/…. In 2004 , Ben Zehnwirth, Julie Sims and Mark Shapland published Will Your Next Reserve Increase Be Your Last, available on http://contingencies.org/janfeb04/…. Finally, on simulation based techniques, The Actuary published an article entitled about the bootstrap, http://insureware.com/Library/… For further readings, here are some articles, found in the CAS forums, the ASTIN conferences, etc,
- The Chain Ladder and Tweedie Distributed Claims Data by Greg Taylor
- Chain-Ladder Bias: Its Reason and Meaning by Leigh Joseph Halliwell
- Estimating Predictive Distributions for Loss Reserve Models by Glenn Meyers
- Using a Bayesian Approach for Claims Reserving by Mario Wuthrich
- Obtaining Predictive Distributions for Reserves Which Incorporate Expert Opinion by Richard Verrall
- Loss Reserve Estimates: A Statistical Approach for Determining “Reasonableness” by Mark Shapland
- Munich Chain Ladder: A Reserving Method that Reduces the Gap between IBNR Projections Based on Paid Losses and IBNR Projections Based on Incurred Losses by Gerhard Quarg and Thomas Mack
- The Bornhuetter-Ferguson Principle by Klaus Schmidt and Mathias Zocher
- On the Importance of Dispersion Modeling for Claims Reserving: An Application with the Tweedie Distribution by Jean-Philippe Boucher and Danail Davidov
- Quantifying Uncertainty in Reserve Estimates by Zia Rehman and Stuart Klugman
- Robustifying Reserving by Gary Venter, Dumaria Rulina Tampubolon, see also Robustifying Reserving
- Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims by Huijuan Liu and Richard Verrall
- Predictive Distributions for Reserves Which Separate True IBNR and IBNER Claims by Huijuan Liu and Richard Verrall
- The Retrospective Testing of Stochastic Loss Reserve Models, by Glenn Meyers
- A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy by Larry Decker
- A Method for Modelling Varying Run-off Evolutions in Claims Reserving by Richard Verrall
- A Nonlinear Regression Model of Incurred But Not Reported Losses by Scott Stelljes
- Back-Testing the ODP Bootstrap of the Paid Chain-Ladder Model with Actual Historical Claims Data by Jessica (Weng Kah) Leong, Shaun Wang and Han Chen
- A Practical Way to Estimate One-Year Reserve Risk by Ira Robbin
- Closed-Form Distribution of Prediction Uncertainty in Chain Ladder Reserving by Bayesian Approach by Ji Yao
- The Prediction Error of Bornhuetter-Ferguson by Thomas Mack
- Stochastic Loss Reserving with the Collective Risk Model by Glenn Meyers
- On the Accuracy of Loss Reserving Methodology Tapio Boles and Andy Staudt
- Bootstrapping Generalized Linear Models for Development Triangles Using Deviance Residuals by Thomas Hartl
- Fitting a GLM to Incomplete Development Triangles by Thomas Hartl
- Gauss—Markov Loss Prediction in a Linear Model by Alexander Ludwig and Klaus Schmidt
- Anatomy of Actuarial Methods of Loss Reserving by Prakash Narayan
- Bootstrap Modeling: Beyond the Basics by Mark R. Shapland and Jessica (Weng Kah) Leong
- GLM Invariants by Fred Klinker
- The Retrospective Testing of Stochastic Loss Reserve Models by Glenn Meyers and Peng Shi
- A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy by Larry Decker
- Testing the Assumptions of Age-to-age Factors, by Gary Venter, see also http://rationalargumentator.com/actuaryguide/…
Arthur Charpentier
Arthur Charpentier, professor at UQaM in Actuarial Science. Former professor-assistant at ENSAE Paristech, associate professor at Ecole Polytechnique and assistant professor in Economics at Université de Rennes 1. Graduated from ENSAE, Master in Mathematical Economics (Paris Dauphine), PhD in Mathematics (KU Leuven), and Fellow of the French Institute of Actuaries.
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