Talk for the students of the undergraduate program in Actuarial Science in Belo Horizonte, Tuesday, on “claims reserving (IBNR) and statistical issues“. Slides can be found here.
Based on recent studies, such as the report by Swiss Re (here), the CAS Working Group on Quantifying Variability in Reserve Estimates (here), or the ROC/GIRO report on Best Estimates and Reserving Uncertainty (there), I will stress on important issues in statistical estimation of claim reserves. Note that a report by Tillinghast can also be found here.
I will also mention statutory elements, such as MCR and SCR, i.e. insurance company are now requiered not only to provide a best estimate for there IBNR, but also have to quantify uncertainty.
I will also mention practical issues for actuaries (and statisticians), using package ChainLadder from R, and showing how it becomes possible to interface R and MSExcel (see e.g. slides here, based on RExcel-Addin).