Reserve Distribution

Hi all,

I'm new to this forum but very impressed with what is being developed.

I have installed the software and am going through it to understand all its parts.

The first area I am having a problem with is the "Reserve Distribution" under the "Reserve Generators" drop down.

Could someone please explain how this works exactly.

Personally I believe that under this heading you would enter your reserves sitting on your Balance sheet for the specific class you are trying to model, and under distribution parameters you would enter how much this is expected to deviate from the carried amount.

If this is the case, I dont understand the output from the model to this respect.

Thanks in advance for your feedback

Hi Pantelis,

from the description provided, I trust you understood the concept and struggle with one element only: 

The initial reserve is rolled forward from the beginning of the period to the end by modification with a random variable. The amount at the end of the period is then paid out by the selected pay-out ratio. You will see a split of the amount by Reserved, Incurred and Paid.

In the public "One Line Example" this looks as follows for the motor hull reserve generator:

• 200 Initial Reserve
• 100, 10 Parameters for the lognormal Reserve Distribution
• 200 * 100 = 20'000 Expected Result at the end of the period
   
• 0.8 Period Payment Portion
• 20'000 * 0.8 = 4000 Expected Reserved at the end of period (as 80% were paid out)

In my simulation I got 3'999.36 whereas the remaining 80% were paid out.

For further details, let me copy-paste some extract of the manual below. If you provide me with your contact details here http://pillarone.org/contact-info I'm happy to send you the complete manual.

Regards,

Markus M.

Reserve generators are accessible similar to claims generators e. g. within the Podra model there exists a Dynamic Composed Component Reserve Generators. By selecting add in the context menu of Reserve Generators a reserve generator can be added. (...) The Calendar Year Method is derived from standard reserving principles. A calendar year starts with knowing about a reserve portfolio consisting of real liabilities and the initial reserve representing their estimated volume. We aim in tracing the risk during one period or calendar year. Within one calendar year reserve loss payments are made and and the outgoing reserve is set. Deviations of the sum of reserve loss payments and outgoing reserves from the initial reserves may be called risk. So we generate the mentioned sum of payments and outgoing reserves as a random variable. The initial reserve of the next period or next calendar year can be set to the outgoing reserve of the current. Pay-out ratios are fixed and can be set for reserves and first year losses seperately.

Thank you for that Markus,

I have tried to send you feedback but for some reason it comes back with an error.

Regarding the coplexity of the model... I am well aware oh how much there is!!!

Thanks again for your feedback,

Pantelis

Pantelis,  

why not getting in touch directly: my address in the attached jpg.

Regards,

Markus

I have sent you an email.... please let me know if you have received....

thx

P

Yep. Will talk to you soon!