Looking Back to See Ahead: A Hindsight Analysis of Actuarial Reserving Methods

Thirty actuarial reserving methods are evaluated empirically against an extensive database of Schedule P data. The metric of method skill is used to evaluate the historical performance of the methods. Results are provided by company size and line of business. The effect of correlation on the usefulness of additional methods is considered. Results suggest the use of several methods not common in actuarial practice, as well as a refinement of weights typically assigned to the more common methods.

Keywords: reserving; reserving methods; management best estimate; suitability testing.