A quantum leap in benchmarking P&C aggregate unpaid distributions

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By Mark R. Shapland | 05 October 2018
Confined by limited data, the aggregation process is typically riddled with volatility that can skew the view of an entity’s risk and capital needs. What has long been missing, at least until now, is a reliable benchmark for identifying and quantifying the risk dependencies between segments that underlie the loss aggregation process. Understanding risk dependencies between segments is a fundamental part of the process in forming conclusions about the interaction of loss distributions. With the introduction of new claims variability benchmarks, actuaries can gauge the reasonableness of their correlations against benchmark correlations.