Transition model

13 03 2008

Built the most kick-ass transition model at work today.

It had 5 different claim states, including one for IBNR, and I fitted curves for the transition rates at each reporting delay and everything!

I just hope it doesn’t fall over tomorrow.

That link isn’t a bad one actually. It leaves out some important stuff and it is pretty simplistic in what it covers, but it describes reserving which is one of the fundamental parts of a General Insurance actuaries job.

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5 responses

13 03 2008
SamR

Is it like a real model that could literally fall over – like the model B-17 bomber I built in 5th grade that fell over?

13 03 2008
guthers

almost identical sambo

13 03 2008
turns

Reserving is only fundamental to a general insurance actuary if they do reserving. A general insurance pricing actuary doesn’t do a whole lot on the liabilities side of things, similarly a liabilities general insurance actuary doesn’t do a whole lot on the pricing side of things…

Did you make the model in SAS or excel or what?

14 03 2008
guthers

Reserving and pricing are inextricably linked – haven’t you dont acst400/401?!?!
I don’t think there could be an actuary who is only a “pricing” actuary. The actuary needs all the skills. Sure you could only do that particular type of work – but if you didn’t know how to reserve, you: a) wouldn’t pass the exams and b) wouldn’t be much of an actuary!
At the most recent GI pricing seminar, your boss threw the idea out there that maybe actuaries aren’t all that necessary to the pricing side of things. A bit controversial, but he may be right.
Speaking of your bosses – is there, or was there, a guy at EMB by the name of PD England? One of his papers is required reading for the GI course.
A bit of SAS, a bit of excel. Mainly excel.

18 03 2008
hammm

you are all lame nerds

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