An Industry question : the ultimate and one-year reserving uncertainty for different non-life reserving methodologies

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      <subfield code="a">An Industry question</subfield>
      <subfield code="b">: the ultimate and one-year reserving uncertainty for different non-life reserving methodologies</subfield>
      <subfield code="c">Eric Dal Moro, Joseph Lo</subfield>
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      <subfield code="a">In the industry, generally, reserving actuaries use a mix of reserving methods to derive their best estimates. On the basis of the best estimate, Solvency 2 requires the use of a one-year volatility of the reserves. When internal models are used, such one-year volatility has to be provided by the reserving actuaries. Due to the lack of closed-form formulas for the one-year volatility of Bornhuetter-Ferguson, Cape-Cod and Benktander-Hovinen, reserving actuaries have limited possibilities to estimate such volatility apart from scaling from tractable models, which are based on other reserving methods. However, such scaling is technically difficult to justify cleanly and awkward to interact with. The challenge described in this editorial is therefore to come up with similar models like those of Mack or Merz-Wüthrich for the chain ladder, but applicable to Bornhuetter-Ferguson, mix Chain-Ladder and Bornhuetter-Ferguson, potentially Cape-Cod and Benktander-Hovinen  and their mixtures.</subfield>
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      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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      <subfield code="g">01/09/2014 Volumen 44 Número 3 - septiembre 2014 </subfield>
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