Quarterly rate & reserve review
Close the books on a real insurer's triangle: roll the reserves forward from the prior evaluation, test actual against expected emergence, re-estimate ultimate loss ratios and produce a credibility-weighted rate indication — then hand the decision to the Decision Studio.
Quarterly rate & reserve review
A period-end reserve roll-forward and rate indication on a real CAS Loss Reserve Database triangle. The database is annual (year-end evaluations); a live quarterly cycle applies the same roll-forward logic at each quarter-end instead.
Prior evaluation compared below: 1996.
Reserves — as of 1997 vs. prior (1996)
| AY | Age | Reported | CL ultimate | BF ultimate | Selected | IBNR | Δ ultimate vs prior | Hindsight ultimate |
|---|---|---|---|---|---|---|---|---|
| 1988 (CL) | 10 | 325,322 | 325,322 | 325,322 | 325,322 | 0 | 3,514 | 325,322 |
| 1989 (CL) | 9 | 273,873 | 276,864 | 277,503 | 276,864 | 2,991 | -8,197 | 277,574 |
| 1990 (CL) | 8 | 256,788 | 268,961 | 268,180 | 268,961 | 12,173 | -9,026 | 263,000 |
| 1991 (CL) | 7 | 239,195 | 258,402 | 260,152 | 258,402 | 19,207 | -12,911 | 248,319 |
| 1992 (CL) | 6 | 159,496 | 180,151 | 185,512 | 180,151 | 20,655 | -9,519 | 168,844 |
| 1993 (CL) | 5 | 87,215 | 104,286 | 116,769 | 104,286 | 17,071 | -10,580 | 90,686 |
| 1994 (CL) | 4 | 91,077 | 119,003 | 127,823 | 119,003 | 27,926 | -21,094 | 94,730 |
| 1995 (CL) | 3 | 87,311 | 132,157 | 131,911 | 132,157 | 44,846 | -23,423 | 91,161 |
| 1996 (BF) | 2 | 44,916 | 90,948 | 87,317 | 87,317 | 42,401 | -22,752 | 49,255 |
| 1997 (BF) | 1 | 691 | 3,110 | 6,035 | 6,035 | 5,344 | 6,035 | 2,909 |
| Total | — | 1,565,884 | — | — | 1,758,498 | 192,614 | — | — |
Total unpaid / IBNR
$192,614k
Mack std. error (total)
$58,633k
Mack CV
30.3%
Rate indication
| AY | Ultimate LR | Trend years | Trended LR |
|---|---|---|---|
| 1988 | 82.4% | 10.0 | 110.8% |
| 1989 | 74.0% | 9.0 | 96.5% |
| 1990 | 95.9% | 8.0 | 121.5% |
| 1991 | 82.3% | 7.0 | 101.2% |
| 1992 | 71.3% | 6.0 | 85.1% |
| 1993 | 51.9% | 5.0 | 60.1% |
| 1994 | 68.2% | 4.0 | 76.8% |
| 1995 | 90.3% | 3.0 | 98.7% |
| 1996 | 93.6% | 2.0 | 99.3% |
| 1997 (excl.) | 0.0% | 1.0 | 0.0% |
3-yr weighted trended LR
76.5%
Indicated: 9.3%
5-yr weighted trended LR
85.6%
Indicated: 22.3%
Credibility Z (premium rule)
1.00
Complement: 14.7%
Credibility-weighted indication (3yr)
9.3%
Assumptions & limitations
- The CAS Loss Reserve Database records annual (year-end) diagonals only; each 'quarterly' evaluation here re-runs the same year-end roll-forward logic, standing in for what a quarterly cycle would repeat four times a year.
- Selected ultimate uses chain-ladder for accident years at least 3 years mature and Bornhuetter–Ferguson (a-priori = prior-evaluation weighted ultimate LR) for younger years.
- Full credibility is assumed at $250,000,000 of premium (a stated proxy for the classical 1,082-claim standard, since Schedule P carries no claim counts).
- The complement of credibility is the prior evaluation's own 3-year indicated change, trended forward one year; it is 0 when no prior evaluation exists.
- Tail development beyond age 120 months is not observed in Schedule P and is assumed to be 1.0.