Stochastic loss reserving is enhancing the examination of loss reserve variability. Capital allocation, often used in pricing and planning, is typically based on a risk measure but a multitude of measures exist. The papers look at presenting and evaluating stochastic loss reserving methods as well as presenting a research project performing a comprehensive evaluation of the many approaches to allocating capital. Several interesting sources of data used in these analyses will be introduced.

81-A: The Marginal Cost of Risk in a Multi-Period Risk Model

Daniel Bauer

81-B: Stochastic Loss Reserving Using Bayesian MCMC Models

Glenn G. Meyers