Loss Reserving: An Actuarial Perspective
Greg Taylor的这本书从精算视角系统讲解财产责任保险损失准备金的估计方法，涵盖确定性和随机模型，适合精算师和保险从业者参考。
Loss Reserving: An Actuarial Perspective, by Greg Taylor, 2000, Norwell, Mass.: Kluwer Academic Publishers. Reviewer: Kevin M. Madigan, Miller, Herbers, Lehmann, and Associates, Inc. What does one mean by the phrase loss reserving? An accountant may feel that the phrase refers to the complicated accounting rules and regulations for recording liabilities in statutory annual statements. A financial officer may feel that the phrase refers to the process of examining the company's finances and arriving at the liabilities that will be recorded at the close of the next quarter. To a practicing actuary, loss reserving is the practice of estimating the future payments on a defined collection of claims, some of which may be unreported. This is the focus of Greg Taylor's book Loss Reserving: An Actuarial Perspective. Note that Taylor's focus is on direct property-liability insurance loss reserving; the text does not discuss loss reserving of assumed reinsurance or of life and health insurance losses. Unfortunately, for many practicing actuaries the major challenges presented by a loss reserve analysis are related to data gathering and validation. One can become so concerned with the gathering, validating, thinness, or credibility of the data, with how to properly organize and utilize it (apples and oranges), that the majority of one's time and resources are focused on these issues. In these situations, it is not unusual for the actuary to spend inordinate amounts of time and energy getting the data into proper shape and then performing a rather anemic analysis using unadjusted paid and incurred loss triangles. This is partially a resource issue: It costs time and money to perform a rigorous analysis of liabilities. Another part of the problem is the lack of a widely recognized reference work on the topic of loss reserving. Taylor's book is a good candidate for filling this role. Throughout the text, the focus is on solving real problems presented by real data. Numerous examples and numerous questions are posed and answered. This text gives a good feel for the kinds of questions an actuary should ask when performing a reserve analysis and for the thought processes involved in trying to answer them. The structure of the book is sound, the text flows smoothly, and the author makes use of a single, real-life data set to illustrate the techniques being discussed. The book is divided into two parts: Deterministic Models and Stochastic Models. In the first part, Taylor works from the ground up, beginning with a very brief description of the claims payment process. From the beginning, he pays particular attention to changes in underlying claims costs (that is, inflation) and he derives the chain ladder method very early in the discussion of claim counts. The author actually presents three derivations of the chain ladder method and points out that, for all of its recognized flaws, this method occupies a key role in actuarial practice. …