An Analysis of Excess Loss Development

There is very little information available regarding excess loss development despite its importance in excess of loss pricing and reserving. In this study, paid and reported excess loss development patterns are estimated at various retentions for certain casualty lines of business. The effects of allocated loss adjustment expense and policy limits on excess development are discussed. The pattern of change, as development progresses, of Pareto distributions fitted to casualty loss distributions was considered in developing curve fitting methods. A method is described for determining development factors by layer. Applications to excess loss pricing, loss reserving, and increased limits factors are mentioned. Reinsurance Research - Development