Milliman Releases P&C Reserve Variability Model Version 1.4
Latest Release Bridges Gap between Stochastic and Deterministic Modeling
Major enhancements in this fourth release of the market-leading software solution include:
- Reconciliation between the model’s stochastic approaches and the user’s deterministic estimates from the same historical data.
- The ability to “shift” a resulting distribution so its mean matches the user’s deterministic estimate, approximating a statistical distribution around the selected estimate.
- The ability for the model to reflect events that may not exist in the historical data, but which nonetheless are possible outcomes.
- Tools to help users select key parameters to better fit the models to their data. Version 1.4 helps users account for heteroscedasticity in their data, and provides suggested standard deviations and degrees of freedom in key places during the parameterization process. Competing systems do not allow users to employ multiple models or customize these parameters, much less provide significant assistance in doing so.
- The option to obtain the resulting details of each iteration of the simulation — potentially thousands of simulated data sets — for further detailed analysis.
Milliman’s Reserve Variability Model is used by casualty insurers to obtain better information about their unpaid claim estimates. Expanding on industry standard bootstrap simulation techniques, the system allows actuaries and analysts to easily model the variability in their unpaid claim estimates, and to understand and demonstrate the risks inherent in those estimates. The model’s stochastic techniques provide more realistic variability estimates than are available with traditional spreadsheet approaches. The system is uniquely positioned to help actuaries address the increasing pressure from rating and regulatory agencies to provide a more statistical basis for unpaid claim estimates. It also provides a solid foundation for Enterprise Risk Management activities.
Milliman is among the world’s largest independent actuarial and consulting firms. Founded in
SOURCE Milliman, Inc.