Evaluation of a P/C insurer's ultimate loss estimates in a changing environment : an honors thesis (HONRS 499)

Abstract

The property and casualty actuary is responsible for developing reasonable estimates of an insurer's ultimate losses. A changing environment can increase the error of .these estimates and cause one to question their soundness. The purpose of this thesis is to model and examine estimation strategies under a series of hypothetical environments. This produces a "road map" of the effects various changes in an environment produce on the estimates. A further result is the knowledge of which estimation techniques are robust under these hypothetical environments. This final collection of models and the subsequent analysis will become a part of the actuarial tool box by providing additional information to help property and casualty actuaries estimate ultimate losses.