Leong, Wang and Chen Win 2014 Variance Prize
Variance Prize Winners Han Chen (left) and Jessica (Weng Kah) Leong (center) were honored at an Awards Luncheon at the CAS Annual Meeting on November 9 in Philadelphia. At right is David Cummings, CAS Vice President-Research & Development, who presented the award.
The Variance Prize for papers published in Variance volume 8 was awarded to Jessica Leong, Shaun Wang, and Han Chen, for their paper “Back-Testing the ODP Bootstrap of the Paid Chain-Ladder Model with Actual Historical Claims Data.” The winning paper presents a back-test of a popular technique to obtain reserve distributions. By using the data from several hundred U.S. companies, spanning three decades, the authors show that the modeled distributions emerging from this technique can underestimate reserve risk. The paper examines the causes of this problem, and suggests two methods to address it by accounting for systemic risk.
The Variance Prize honors original thinking and research in property/casualty actuarial science and is awarded to the author or authors of the best paper published in each volume year. To be eligible, a paper must show original research and the solution of advanced insurance problems.
The paper was recognized for the significance and relevance of its subject matter. The judges noted that “the contribution of this paper is the focus on reserve risk and the importance of the systemic risk component, which component cannot be discerned using a static point-in-time reserve triangle.”
Jessica Leong, FCAS, FIAA, is a predictive analytics execution lead at Zurich Insurance. Shaun Wang, FCAS, CERA, is Professor at Nanyang Technological University in Singapore. Han Chen, FSA, ACAS, is lead analyst at Tokio Marine Technologies, where he is responsible for property and casualty reinsurance pricing/reserving tool development and emerging risk study.
The winning paper was published in Variance volume 8, number 2.