Presentation - Society of Actuaries in Ireland

Reserving and Capital (Section 8)• Stochastic approach needed to reserving• Most common approach in Ireland is to use ConditionalTail Expectation (CTE) approach• CTE approach adapted from the US method• This involves projecting cashflows over the life of thepolicy for each scenario calculating reserve• CTE reserve is average of worst scenarios• Allowing for hedging involves nested stochasticprojections of profits for each scenario