Description: This research was funded by the Natural Sciences and Engineering Research Council of Canada [NSERC] Discovery Grant 36860–06. Loss reserving is one of the most challenging tasks facing actuaries. Numerous approaches have been developed to give reasonable estimates. Generalized linear models [GLMs] are becoming quickly popular statistical analysis methods to estimate loss reserves. However, most of these models are aggregate reserving methods based on loss development triangles, without using information with regard to the actual claims processes. This paper establishes a more sophisticated structural reserving method incorporating more detailed information, such as the premium exposure emergence pattern, the loss emergence pattern and the loss development pattern, within the framework of GLMs.

Description: An excerpt from a presentation at the 2014 Living to 100 Symposium, this article describes an open-source model for use by actuaries attempting to estimate future health benefit costs, discusses its strengths and limitations, and projects that spending for those age over 65 will take more than $13 trillion by 2055, about 50 percent of total medical expenditures.

Description: This study note focuses on actuarial applications and loss distributions for insurance products.

Description: Exam study notes on credibility theory.

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.