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 | 125,049 | 125,049 | 125,049 | 125,049 | 0 | 1,557 | 125,049 |
| 1989 (CL) | 9 | 147,358 | 149,216 | 148,758 | 149,216 | 1,858 | 1,186 | 149,252 |
| 1990 (CL) | 8 | 187,760 | 192,674 | 191,267 | 192,674 | 4,914 | 3,113 | 196,092 |
| 1991 (CL) | 7 | 213,396 | 224,115 | 221,043 | 224,115 | 10,719 | 1,063 | 229,642 |
| 1992 (CL) | 6 | 213,904 | 230,811 | 227,833 | 230,811 | 16,907 | 1,058 | 235,831 |
| 1993 (CL) | 5 | 193,676 | 219,624 | 221,332 | 219,624 | 25,948 | 1,202 | 224,868 |
| 1994 (CL) | 4 | 151,081 | 185,415 | 188,970 | 185,415 | 34,334 | -708 | 190,572 |
| 1995 (CL) | 3 | 111,268 | 157,873 | 167,076 | 157,873 | 46,605 | -14,524 | 153,299 |
| 1996 (BF) | 2 | 66,033 | 125,746 | 142,121 | 142,121 | 76,088 | -15,772 | 126,403 |
| 1997 (BF) | 1 | 25,265 | 129,150 | 135,599 | 135,599 | 110,334 | 135,599 | 111,592 |
| Total | — | 1,434,790 | — | — | 1,762,496 | 327,706 | — | — |
Total unpaid / IBNR
$327,706k
Mack std. error (total)
$20,578k
Mack CV
6.7%
Rate indication
| AY | Ultimate LR | Trend years | Trended LR |
|---|---|---|---|
| 1988 | 70.6% | 10.0 | 94.9% |
| 1989 | 74.2% | 9.0 | 96.8% |
| 1990 | 78.3% | 8.0 | 99.2% |
| 1991 | 78.4% | 7.0 | 96.4% |
| 1992 | 67.8% | 6.0 | 81.0% |
| 1993 | 52.4% | 5.0 | 60.8% |
| 1994 | 50.7% | 4.0 | 57.0% |
| 1995 | 46.7% | 3.0 | 51.0% |
| 1996 | 49.6% | 2.0 | 52.6% |
| 1997 | 55.3% | 1.0 | 56.9% |
3-yr weighted trended LR
56.6%
Indicated: -19.1%
5-yr weighted trended LR
67.9%
Indicated: -3.1%
Credibility Z (premium rule)
1.00
Complement: -9.4%
Credibility-weighted indication (3yr)
-19.1%
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.