Does bootstrapping understate reserve variability?

Over at Guy Carpenter land, actuary Jessica Leong posits that the bootstrapping method of estimating reserve variability understates that variability. Bootstrapping, of course, is a method of using the company’s own data to drive a random sampling process; said process re-estimates the reserve. Sample enough times, keep track of the results, and you’ve got a [...]

A new wrinkle in IBNR

Behind its firewall, SNL writes about reinsurers establishing cat IBNR reserves that aren’t tied to an event: Typically, reinsurers establish IBNR reserves to cover future payments on individual losses that have occurred but have yet to be reported or reported losses that have not been recorded in full. Unallocated IBNR reserves are a slightly different [...]

GuyCarp: Reinsurance renewals

I have nothing to add to this: Words here.

Quote of the Day – reinsurance renewals

Brian Boornazian, Aspen Re chief executive: What actually happened on Jan. 1 is that we saw a market hardening in certain lines, but not a ‘classic’ hard market. The signs all point to an industry awareness that the risk being assumed needs more rate to produce adequate returns. The insurance and reinsurance markets are starting [...]

Aon: Reinsurer capital grew a sliver in Q2, down for the year

Highlights from the first half study of the the 28 large insurers that make up the Aon Benfield Aggregate: Global reinsurer capital totaled US$445B at June 30. That’s 5% less than at year-end but 1% higher than at Q1.That number includes shareholder funds and non-traditional forms of capital. Shareholders funds fell 1.7% in the first [...]

Insolvency: What was the actuary’s role?

Time Flies Department: The Reliance Insurance insolvency turned 10 this year, and Best’s Review (sub. req., I think) was all over it. Reliance was one of three big insurers that went under in a 10-month span ending in March 2002, the others being Legion Insurance and Phico. The accompanying chart, which ranks the largest insolvencies [...]

Brokers’ halftime reports

In a sentence: The market has done just about everything necessary to turn, except turn. A lot about market uncertainty in these reports, which always turns me off. What, after all, is certain? Beyond that, it’s clear that everyone believes a big blow will drive rates up. But there’s not a lot of confidence about [...]

On rates: What will turn the market?

Moody’s agrees with other reports: Rates on Jan. 1 renewals of the reinsurance market are down between 5% and 10%. So the story is both depressing (from a reinsurer’s POV) and monotonous (from a blogger/journalist’s POV). So, a couple of twists: Moody’s also doubts that the new version of the catastrophic model RMS will turn [...]

RAA catastrophe loss development study released

CAS has the update. Most reinsurers estimate reserves by calling the broker or each ceding company exposed to a catastrophe. The study is a handy check that the estimate of ultimate losses is consistent with what has been reported to date.

This just in….

Stuff too interesting to let pass: Florida continues to pave the way for global reinsurers to enter the market by easing the requirements for them to do business. The regulator understands, even if some journalists do not, that the state’s HO market would be an even bigger mess than it is. David Merkel has an [...]