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 | 111,727 | 111,727 | 111,727 | 111,727 | 0 | -661 | 111,727 |
| 1989 (CL) | 9 | 116,055 | 115,372 | 115,560 | 115,372 | -683 | -1,826 | 117,658 |
| 1990 (CL) | 8 | 113,243 | 112,504 | 112,690 | 112,504 | -739 | -4,687 | 116,719 |
| 1991 (CL) | 7 | 124,352 | 126,118 | 125,721 | 126,118 | 1,766 | -6,852 | 130,900 |
| 1992 (CL) | 6 | 109,505 | 113,537 | 113,073 | 113,537 | 4,032 | -4,775 | 125,026 |
| 1993 (CL) | 5 | 92,374 | 98,870 | 99,412 | 98,870 | 6,496 | -8,997 | 110,233 |
| 1994 (CL) | 4 | 82,470 | 95,260 | 97,628 | 95,260 | 12,790 | -12,162 | 107,465 |
| 1995 (CL) | 3 | 64,854 | 86,320 | 94,817 | 86,320 | 21,466 | -25,555 | 108,100 |
| 1996 (BF) | 2 | 59,141 | 105,311 | 116,467 | 116,467 | 57,326 | -19,160 | 132,144 |
| 1997 (BF) | 1 | 40,409 | 170,432 | 156,250 | 156,250 | 115,841 | 156,250 | 173,581 |
| Total | — | 914,130 | — | — | 1,132,425 | 218,295 | — | — |
Total unpaid / IBNR
$218,295k
Mack std. error (total)
$28,795k
Mack CV
13.0%
Rate indication
| AY | Ultimate LR | Trend years | Trended LR |
|---|---|---|---|
| 1988 | 61.6% | 10.0 | 82.8% |
| 1989 | 62.2% | 9.0 | 81.2% |
| 1990 | 60.3% | 8.0 | 76.4% |
| 1991 | 58.2% | 7.0 | 71.6% |
| 1992 | 51.0% | 6.0 | 60.9% |
| 1993 | 41.7% | 5.0 | 48.3% |
| 1994 | 38.1% | 4.0 | 42.9% |
| 1995 | 32.3% | 3.0 | 35.3% |
| 1996 | 40.2% | 2.0 | 42.7% |
| 1997 | 46.4% | 1.0 | 47.8% |
3-yr weighted trended LR
41.9%
Indicated: -40.1%
5-yr weighted trended LR
50.8%
Indicated: -27.4%
Credibility Z (premium rule)
1.00
Complement: -25.1%
Credibility-weighted indication (3yr)
-40.1%
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.