Granular reserving – the big actuarial science debate
Cass Consulting lunch attracts the great and the good
Granular reserving is currently a hot topic in actuarial practice. Practitioners are starting to reject the celebrated chain ladder while embracing the notion that granular data provides more information.
In a controversial speech this week Cass Professor of Actuarial Science, Jens Perch Nielsen, argued that the conventional chain ladder method actually is a granular method.
He was speaking to the great and the good of the actuarial science world who gathered for a lunch event organised by Cass Consulting,
According to Professor Nielsen, chain ladder as granular method has enormous consequences for the way the profession reinvents and improves reserving methodology while preparing for Solvency II - the new harmonised EU solvency rules.
He argued that a new simple methodology which borrows from many years of chain ladder method experience is possible.
Attendees also heard from Malcolm Cleugh, Group Reserving Actuary at the RSA, who explained the how the RSA have been working with Professor Nielsen to apply this research.
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