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 | 51,939 | 51,939 | 51,939 | 51,939 | 0 | 127 | 51,939 |
| 1989 (CL) | 9 | 46,229 | 46,342 | 46,362 | 46,342 | 113 | -606 | 46,483 |
| 1990 (CL) | 8 | 53,956 | 54,955 | 54,909 | 54,955 | 999 | -314 | 54,857 |
| 1991 (CL) | 7 | 66,566 | 69,217 | 68,887 | 69,217 | 2,651 | -1,210 | 68,965 |
| 1992 (CL) | 6 | 59,437 | 63,786 | 63,808 | 63,786 | 4,349 | -866 | 63,406 |
| 1993 (CL) | 5 | 50,742 | 57,583 | 59,408 | 57,583 | 6,841 | -1,693 | 57,917 |
| 1994 (CL) | 4 | 45,580 | 57,070 | 59,262 | 57,070 | 11,490 | -2,316 | 55,255 |
| 1995 (CL) | 3 | 44,045 | 66,813 | 60,272 | 66,813 | 22,768 | 8,920 | 67,011 |
| 1996 (BF) | 2 | 31,474 | 68,709 | 52,299 | 52,299 | 20,825 | 7,624 | 68,225 |
| 1997 (BF) | 1 | 9,372 | 50,439 | 33,227 | 33,227 | 23,855 | 33,227 | 55,377 |
| Total | — | 459,340 | — | — | 553,232 | 93,892 | — | — |
Total unpaid / IBNR
$93,892k
Mack std. error (total)
$7,017k
Mack CV
5.5%
Rate indication
| AY | Ultimate LR | Trend years | Trended LR |
|---|---|---|---|
| 1988 | 52.1% | 10.0 | 70.0% |
| 1989 | 54.4% | 9.0 | 71.0% |
| 1990 | 66.9% | 8.0 | 84.7% |
| 1991 | 72.9% | 7.0 | 89.6% |
| 1992 | 63.5% | 6.0 | 75.8% |
| 1993 | 50.4% | 5.0 | 58.4% |
| 1994 | 53.6% | 4.0 | 60.3% |
| 1995 | 89.5% | 3.0 | 97.8% |
| 1996 | 86.8% | 2.0 | 92.1% |
| 1997 | 72.3% | 1.0 | 74.5% |
3-yr weighted trended LR
69.0%
Indicated: -1.4%
5-yr weighted trended LR
74.4%
Indicated: 6.3%
Credibility Z (premium rule)
1.00
Complement: -8.4%
Credibility-weighted indication (3yr)
-1.4%
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.