PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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624 ESTIMATING THE WORKERS COMPENSATION TAILTABLE 5.10Errors in PLDFs During 34th Year of Development Dueto Selecting a Constant Historical Average PLDFAccident Selected True Underlying % Error inYear PLDF PLDF Incremental Payments1970 1.02138 1.02166 ¡1:31975 1.02138 1.02218 ¡3:61980 1.02138 1.02276 ¡6:11985 1.02138 1.02336 ¡8:51990 1.02138 1.02395 ¡10:71995 1.02138 1.02452 ¡12:82000 1.02138 1.02507 ¡14:7TABLE 6.1A Comparison of Indicated MPD Tail FactorsMaturity BasedonSAIF’s BasedonStatic BasedonTrended(Years) Experience Mortality Model Mortality Model10 2.469 2.684 3.02515 2.328 2.469 2.78325 2.054 2.019 2.27135 1.680 1.594 1.776Even though it is true that past declines in mortality ratesare implicitly embedded in historical PLDFs, the above exampleclearly illustrates that it would be incorrect to assume that the selectionof historical factors as estimates of future PLDFs wouldimplicitly incorporate the effects of future declines in mortalityrates. What would be more appropriate would be to select representativePLDFs for each development year based on recenthistorical factors and then to trend these upward in a mannerparallel to the PLDFs indicated by a realistic model.6. ACOMPARISONOFINDICATEDTAILFACTORSTable 6.1 provides a comparison of the MPD tails indicatedby SAIF’s own loss experience with those indicated by the static
ESTIMATING THE WORKERS COMPENSATION TAIL 625TABLE 6.2Indicated Loss Reserve at Different Maturities(dollars in millions)Other Workers MPD Reserve as a PercentageMaturity MPD Compensation of Total Workers(Years) Reserve Reserve Compensation Reserve10 $41.3 $10.4 8015 39.6 9.5 8125 34.6 5.7 8635 27.0 2.5 92and trended mortality methods. This table repeats the MPD tailsindicated by SAIF’s experience in Table 2.4.As noted earlier, the indications of the static mortality modelreasonably fit those from SAIF’s historical loss experience, exceptthat the model somewhat understates development for DYs40—54.The relative contribution of MPD versus all other workerscompensation to the total loss reserves for a given AY is muchgreater if the trended mortality model is assumed. Those percentagesat various maturities are shown in the last column ofTable 6.2.The above table is analogous to Table 2.5, which shows resultsbased on SAIF’s historical loss experience. In deriving theseestimates, total AY ultimate losses of $100 million were assumed,together with a 50—50 split between MPD and other workerscompensation. However, the $50 million figure for ultimate MPDwas changed to the product of cumulative paid MPD at 10 yearsof development and the 10 to ultimate tail factor from the trendedmortality model. That increased ultimate MPD to $61.75 million.Table 6.3 provides a side-by-side comparison of the percentagesof the total workers compensation loss reserve attributableto MPD, as estimated using historical PLDFs and PLDFs indicatedby the trended mortality model.
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VOLUME XCII NUMBERS 176 and 177PROC
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FOREWORDActuarial science originate
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2005 PROCEEDINGSCONTENTS OF VOLUME
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2005 PROCEEDINGSCONTENTS OF VOLUME
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Editorial Committee, Proceedings Ed
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2 AN EXAMINATION OF THE INFLUENCE O
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10 AN EXAMINATION OF THE INFLUENCE
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AN EXAMINATION OF THE INFLUENCE OF
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RISKINESS LEVERAGE MODELSRODNEY KRE
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RISKINESS LEVERAGE MODELS 33There a
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RISKINESS LEVERAGE MODELS 35where f
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RISKINESS LEVERAGE MODELS 59APPENDI
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DISCUSSION OF A PAPER PRESENTED AT
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RISKINESS LEVERAGE MODELS 63known t
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RISKINESS LEVERAGE MODELS 67implies
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RISKINESS LEVERAGE MODELS 734. INTE
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RISKINESS LEVERAGE MODELS 79REFEREN
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RISKINESS LEVERAGE MODELS 81EXHIBIT
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RISKINESS LEVERAGE MODELS 83
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WHY LARGER RISKS HAVE SMALLER INSUR
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ADDRESS TO NEW MEMBERS 151ateship a
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ADDRESS TO NEW MEMBERS 153You shoul
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ADDRESS TO NEW MEMBERS 155strength
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MINUTES OF THE 2005 CAS SPRING MEET
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MINUTES OF THE 2005 SPRING MEETING
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Volume XCII, Part 2 No. 177PROCEEDI
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MODELING FINANCIAL SCENARIOS 179Bab
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MODELING FINANCIAL SCENARIOS 237[30
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WHEN CAN ACCIDENT YEARS BE REGARDED
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THE APPLICATION OF FUNDAMENTAL VALU
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A NEW METHOD OF ESTIMATING LOSS RES
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ARCHITECTURE FOR RESIDENTIAL PROPER
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ESTIMATING THE WORKERS COMPENSATION
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INCORPORATION OF FIXED EXPENSESGEOF
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INCORPORATION OF FIXED EXPENSES 681
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DISCUSSION OF PAPER PUBLISHED INVOL
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APPLICATION OF THE OPTION MARKET PA
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THE “MODIFIED BORNHUETTER-FERGUSO
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ADDRESS TO NEW MEMBERS-NOVEMBER 14,
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ADDRESS TO NEW MEMBERS 743Now to an
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PRESIDENTIAL ADDRESS-NOVEMBER 14, 2
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PRESIDENTIAL ADDRESS 753me keep my
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MINUTES OF THE 2005 CAS ANNUAL MEET
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MINUTES OF THE 2005 ANNUAL MEETING
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2005 EXAMINATIONS—SUCCESSFUL CAND
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OBITUARIESROBERT GRANT ESPIECLYDE H
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OBITUARIES 825SIDNEY M. HAMMER1931
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OBITUARIES 827J. GARY LaROSE1947—
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OBITUARIES 829PAUL J. SCHEEL SR.193
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OBITUARIES 831LEO M. STANKUSCirca 1
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INDEX TO VOLUME XCIIPage2005 EXAMIN
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835GRAVES, CLYDE H.INDEX—CONTINUE
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837INDEX—CONTINUEDREPORT OF THE V
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PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

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