Non-life Insurance Technical Provisions Prediction Errors : ‘Ultimo’ and One-year perspectives

Event Type
Evening Meeting

6pm - tea/coffee
6.30pm - meeting

Davenport Hotel

Assessing the uncertainty in reserve estimates has become an increasingly important requirement of reserving actuaries’ work.  Ideally this will involve a quantification of reserve uncertainty by producing a distribution of possible outcomes for unpaid claims.  Until now the quantification of reserve uncertainty has focused on the risk until the full run-off of liabilities, the so called “ultimo” risk.  However in a Solvency 2 world a new “one-year” perspective on risk is taken and so the methods used until now must be amended to take account of this perspective.  This paper looks at the methods available and the potential pitfalls of some commonly used methodologies for assessing uncertainty for both the ultimo and one-year views.

Dermot Marron, FSAI and Ronan Mulligan, FSAI
Cost (non-members)
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