Stochastic Reserving in Non-Life Insurance
Topics covered in this talk will include some of:
• Setting up statistical models of claims experience
• Using these models to generate a distribution of reserves
• Applications
o Measurement of reserve uncertainty
o Stochastic monitoring of claims experience
o Scenario analysis.
More details will be available in due course.
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After completing a PhD in statistics in 1998 and spending some time as a research fellow in Reading University, UK, Gráinne McGuire went to Australia in 2001 and joined Taylor Fry Consulting Actuaries in Sydney where she qualified as an actuary in 2005. Much of her work has focussed on the application of statistics to pricing and reserving problems, such as statistical models of claim experience to project outstanding claims liability and the estimation of risk margins for this liability and the use of statistical monitoring to quickly flag adverse or positive changes in claims experience. She has published a number of papers on some of these topics in conjunction with Greg Taylor.