Reserve Risk

We had a good year, but why has the CoV increased?

Ashwani Arora

Kevin Chan

22 October 2015

Agenda

•Reserve Risk basics - MSEP and Mack’s Model (1993)

•Illustration of the Reserves movement

oVolume Impact

oParameter Impact (link ratios)

•Illustration of the Reserve Risk movement

oMaturity

oVolume

oParameters (link ratios and noise)

oOne Additional Year

•Example of Reserve Risk movement

•How volatile is the CoV with an additional Calendar Year experience?