Patrik

Question 1

Six components of reinsurer’s loss reserve

Answer 1

1. Case reserves reported by ceding companies
2. Reinsurer additional reserves
3. IBNER
4. Pure IBNR
5. Discount for future investment income
6. Risk load

Question 2

Three steps involved in reinsurer loss reserving

Answer 2

Partition
Analyze
Estimate

Question 3

Two examples of short-, medium-, and long-tailed exposures

Answer 3

Treaty property proportional/CAT
Treaty property excess higher layers, construction
Treaty casualty excess, asbestos

Question 4

Rationale between credibility weighting CL IBNR and CC IBNR

Answer 4

May not have complete confidence in CC method (rate-level adjusted premium difficult to obtain)

Question 5

Alternatives to credibility weighting CL and CC IBNR

Answer 5

Weight IBNR estimates based on paid and reported claims; Use ELR inherent in underlying pricing of exposure in lieu of or in conjunction with CC ELR