64-A
An Approach to Estimating Model Uncertainty

Wednesday, April 2, 2014: 9:30 a.m.
Maryland Suite AB (Washington Marriott Wardman Park)
Within the property/casualty insurance industry, increased interest is being placed on understanding the variability inherent in a point estimate loss reserve.  This session will begin with an overview of the basic building blocks to estimating reserve variability and will then introduce a component of reserve variability that is often overlooked: model uncertainty.  This session will present a methodology for incorporating model uncertainty into the reserve variability estimate and will use a case study to demonstrate its use.
Presentation 1
Jamie Mackay, Senior Consultant, Towers Watson
Handouts
  • Model Uncertainty for printing.pdf (1.4 MB)
  • Presentation 2
    David J. Otto, Director, Towers Watson
    Handouts
  • Model Uncertainty for printing.pdf (1.4 MB)