An Analysis of Excess Loss Development [Discussion]

Messrs. Pinto and Gogol have made a valuable contribution to actuarial literature through their analyses of industry excess loss development patterns. Based upon application of a theoretical model to industry data, the authors have convincingly demonstrated that paid and incurred loss and ALAE development patterns increase significantly as the retention increases. This is due to the phenomenon that the severity distribution becomes thicker-tailed as claims mature. this review presents a generalization of the Pinto-Gogol formula that shows how the authors’ methodology can be applied to estimate account-specific development patterns for relatively high excess layers. Reinsurance Research - Development