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reserve triangle analysis spreadsheet


racemize
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I've developed a pretty in-depth spreadsheet for doing reserve triangle analysis.  Here's the link:

 

http://dl.dropbox.com/u/14968/reserve%20triangle%20analysis.xls

 

After talking with several people at the FFH meeting, it seemed like folks might be interested.  In the triangle, you just have to type in the first year (top left) and the reserve data in the first two triangles.  The spreadsheet then uses that data to create a ton of other triangles that are useful.  One of the most important ones is generated right below the first two on the first sheet, which is the reserve development triangle by accident year.  The second sheet derives the remaining reserves per accident year.  The third sheet derives accident year development, both cumulative changes and incremental changes (these are actually used to generate the one on the first sheet).  Finally, the third is used to determine tail.

 

This particular sheet is for AIG using the reserve triangles for 2011.  From my discussions at the pre-meeting, it seemed like some people missed it when I posted it in the AIG thread a few months back, so I thought I'd leave that data in.

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