Implementation of new techniques

[genedan]

I came across this thread in the CAS General Research forum regarding a few new papers. Since one of our goals was to have this package be at the forefront of actuarial open source, I figured we could collect novel (or older, but not-yet-implemented) techniques in a table, which will be updated as they are discussed and prioritized.

Technique: A name or short-description of the technique
Reference: A link to a paper which details the technique
Difficulty: How hard it would be to implement the technique in chainladder-python
Demand: Public demand for including the technique in the package.

Technique	Reference	Difficulty	Demand
Richman-Wüthrich Individual Claims Reserving	https://arxiv.org/pdf/2602.15385, https://arxiv.org/pdf/2603.11660	TBD	TBD
Frequency-Severity Techniques	https://www.casact.org/sites/default/files/database/studynotes_friedland_estimating.pdf	Low	High
Benktander Golden Stairs	https://www.tandfonline.com/doi/full/10.1080/03461238.2025.2536811?af=R#d1e108	TBD	TBD
Handling Sparse Data for Reserving Using Bayesian MCMC	https://www.casact.org/abstract/handling-sparse-data-reserving-using-bayesian-mcmc	TBD	TBD
Claims Development by Layer: The Relationship between Claims Development Patterns, Trend and Claim Size Models	https://www.casact.org/abstract/claims-development-layer-relationship-between-claims-development-patterns-trend-and-claim	TBD	High
Testing the Assumptions of Age-To-Age Factors	https://www.casact.org/abstract/testing-assumptions-age-age-factors	TBD	TBD
The Market Value Margin Within The Distribution-Free Chain Ladder Model - A Way To Account For Calendar Year Effects And Aggregating Lines Of Business	https://www.casact.org/abstract/market-value-margin-within-distribution-free-chain-ladder-model-way-account-calendar-year	TBD	TBD
A Flexible Framework for Stochastic Reserving Models	https://www.casact.org/abstract/flexible-framework-stochastic-reserving-models	TBD	TBD
The Use of GAMLSS in Assessing the Distribution of Unpaid Claims Reserves	https://www.casact.org/abstract/use-gamlss-assessing-distribution-unpaid-claims-reserves	TBD	TBD
Applications of Reserve Ranges and Variability in Practice	https://www.casact.org/abstract/applications-reserve-ranges-and-variability-practice	TBD	TBD
Testing the Assumptions of Assumptions Testing	https://www.casact.org/abstract/testing-assumptions-assumptions-testing	TBD	TBD
A Family of Chain-Ladder Factor Models for Selected Link Ratios	https://www.casact.org/abstract/family-chain-ladder-factor-models-selected-link-ratios	TBD	TBD
Two Symmetric Families of Loss Reserving Methods	https://www.casact.org/abstract/two-symmetric-families-loss-reserving-methods	TBD	TBD
A Practical Way to Estimate One-year Reserve Risk	https://www.casact.org/abstract/practical-way-estimate-one-year-reserve-risk	TBD	TBD
Looking Back to See Ahead: A Hindsight Analysis of Actuarial Reserving Methods	https://www.casact.org/abstract/looking-back-see-ahead-hindsight-analysis-actuarial-reserving-methods	TBD	TBD
Closed-Form Distribution of Prediction Uncertainty in Chain Ladder Reserving by Bayesian Approach	https://www.casact.org/abstract/closed-form-distribution-prediction-uncertainty-chain-ladder-reserving-bayesian-approach	TBD	TBD
Development Pattern and Prediction Error for the Stochastic Bornhuetter-Ferguson Claims Reserving Method	https://www.actuaries.org/app/uploads/2025/07/Saluz_Gislery_Wuthrich_Paper_Madrid2011.pdf	TBD	TBD
Modeling Loss Emergence and Settlement Processes	https://www.casact.org/abstract/modeling-loss-emergence-and-settlement-processes	TBD	TBD
Fitting a GLM to Incomplete Development Triangles	https://www.casact.org/abstract/fitting-glm-incomplete-development-triangles	TBD	TBD
Bootstrapping Generalized Linear Models for Development Triangles Using Deviance Residuals	https://www.casact.org/abstract/bootstrapping-generalized-linear-models-development-triangles-using-deviance-residuals	TBD	TBD
On the Accuracy of Loss Reserving Methodology	https://www.casact.org/sites/default/files/database/forum_10fforum_bolesstaudt.pdf	TBD	TBD
Practical Considerations in Assessing the Impact of Inflation on Carried Reserves	https://www.casact.org/abstract/practical-considerations-assessing-impact-inflation-carried-reserves	TBD	TBD
he Technical Provisions in Solvency II What EU Insurers Could Do if They Had Schedule P	https://www.casact.org/abstract/technical-provisions-solvency-ii-what-eu-insurers-could-do-if-they-had-schedule-p	TBD	TBD
Gauss-Markov Loss Prediction in a Linear Model	https://www.casact.org/abstract/gauss-markov-loss-prediction-linear-model	TBD	TBD
Stochastic Loss Reserving with the Collective Risk Model	https://www.casact.org/abstract/stochastic-loss-reserving-collective-risk-model-0	TBD	TBD
The Chain Ladder and Tweedie Distributed Claims Data	https://www.casact.org/abstract/chain-ladder-and-tweedie-distributed-claims-data	TBD	TBD
Stochastic Loss Reserving Using Bayesian MCMC Models	https://www.casact.org/sites/default/files/2021-02/01-Meyers.PDF	TBD	TBD
Loss Development Using Credibility	https://www.casact.org/sites/default/files/database/studynotes_brosius6.pdf	Medium	High
Unbiased Loss Development Factors	https://www.casact.org/sites/default/files/2021-02/pubs_proceed_proceed94_94154.pdf	TBD	TBD
Determination of Outstanding Liabilities for Unallocated Loss Adjustment Expenses	https://www.casact.org/sites/default/files/database/proceed_proceed89_89111.pdf	TBD	TBD
Estimating ULAE Liabilities; Rediscovering and Expanding Kittel's Approach	https://www.casact.org/abstract/estimating-ulae-liabilities-rediscovering-and-expanding-kittels-approach	TBD	TBD
Two Alternative Methods for Calculating the Unallocated Loss Adjustment Expense Reserve	https://www.casact.org/sites/default/files/database/forum_99fforum_99ff233.pdf	TBD	TBD

[RonRichman]

Thanks for featuring the first one!

[henrydingliu]

we probably need that migration to tabular backend before we can comfortably tackle no. 1

no. 2 is already possible today. let me know if you want some code snippets.

no. 3 looks doable. always a good sign to have data right in the paper

[genedan]

@RonRichman - Glad to see you here! We also accept pull requests from anyone - no pressure!
@henrydingliu - I definitely think Freq/Sev would be highest priority for the next method rollout, would appreciate a fork. I have also been marking as high priority any papers that are in the exam syllabus.

I've been adding more papers (including @rajesh06's) as I move along, using the super-unsophisticated method of simply searching for "reserving" in the CAS database and reading the abstracts. These examples are only from the first page of results, so as far as I can tell, the sky is the limit when it comes to finding things can be turned into/integrated into a package. So much so, that I think there will always be a niche for Chainladder to fill in the world of open-source.

@kennethshsu - I recall there were some discussions where we couldn't figure out what to do with certain research monies. One idea would be putting a bounty/hackathon on some of these. I think it could attract more contributors and promote the package to the public. We could grade the submissions on criteria including but not limited to:

• Richness of features
• Quality of documentation
• Ease of hand-off to the maintainers (i.e., distilling of difficult mathematics to something maintainable)

[kennethshsu]

Yap, we could. That’s one way. I’ve also seen in some other projects that there are sponsored donations, where features or bugs get voted up through $$.

By the way, I’m prioritizing Friedland pretty heavily, and I think replicating the examples will help us identify gaps in the package. Off the top of my head, I know we are missing one frequency/severity method and have at least one outstanding method. We’ll know more as we work through and reconcile additional chapters.

[rajesh06]

Wow - this is a blast from the past for me. I am actually semi-retired, and one of my plans in semi-retirement was to rewrite that paper.

I wrote it as "research." but I think it could benefit from a rewrite with more of an educational focus. Others disagree on this point, preferring that we teach our students to read/learn from research papers. Anyway, if I rewrite it, I could work on the function at the same time. (I have very good R knowledge, but learning Python is also one of my semi-retirement goals.)

[rajesh06]

One of my suggestions would be to add a "factor picker diagnostic EDA"- basically, a faceted plot with charts for age-to-age factors, with the accident year on the x-axis and the development factor on the y-axis, with the size of the points proportional to the denominator of the development factor. One of the arguments would be the time-weighted and straight averages to include as horizontal lines, and of course the selected development factor as a horizontal line. The first (top left) facet would be a box plot of development factors ~ age interval.

[henrydingliu]

@danielfong-act is this the same mcmc paper you've been working on?

[danielfong-act]

@henrydingliu no, I'm working to implement the four models detailed in this paper (TBH I hit a wall and back-burnered it). That paper is referenced by the sparse data paper's author, so I suspect that the methods involved (e.g. for picking priors) would slot well into chainladder after some basic MCMC model/framework is established. I'd have to read it more closely though.

[henrydingliu]

@genedan can you please add the paper from #30 here?

[kennethshsu]

I added it.

You can't edit the thread? You should be able to.

[genedan]

Is there an existing standard to the abbreviations you used on the left side of this list, or is this something you guys came up with? I should update the table in this thread to have some IDs, otherwise I risk duplicating.

[henrydingliu]

I'm not aware of an existing standard

[kennethshsu]

Me neither

[genedan]

I added another high-priority paper to the list, since this is a syllabus paper:

https://www.casact.org/sites/default/files/database/studynotes_brosius6.pdf

This would add some nice things to the package, like credibility and Bayesian statistics. I think the feasibility for adding this is high - if actuaries learn how to do this by hand, surely we can add it.

[henrydingliu]

since this is a syllabus paper

we need the exam 7 syllabus committee do something to earn back their own credibility after the debacle with their latest.

[henrydingliu]

i spent a bit more time going through my old notes on brosius

This would add some nice things to the package, like credibility and Bayesian statistics.

we already have cred and bayesian statistics in the package, but they are the non-parametric version as described by mack. what we really need is an advanced reserving textbook, equivalent of loss models by klugman/panjer/wilmot, to harmonize between brosius/clark/mack. otherwise we are looking at implementing not only a BrosiusDevelopment transformer (to handle the intercept) but also a BrosiusChainladder predictor (to handle the intercept and negative binomial parametric bayesian stats). a textbook would help us consolidate all into a single predictor. without that, we don't have the algebraic horsepower in our collaborator group to consolidate all these potentially theoretically compatible estimators.

my disdain for the 7 syllabus committee aside, i do like the idea of covering all exam 7 material in our package. i would actually prioritize all the monographs, as they tend to be more modern and more focused on practicality. in fact, we should talk to morgan about using the casact github to share the code behind each monograph, reserving or pricing or otherwise. certainly we should be able to fast-track the implementation of all of the reserving monographs into this package if there's existing python/R code that AI can help us refactor @kennethshsu maybe this already exists somewhere and i'm just ignorant. let me know.

bottom line is this, and i hope we are align on it: now that we are a part of the CAS and submit ourselves to CAS oversight, it is in the CAS's best interest to make sure that it's funding research and educational publications that live in an open-source ecosystem that all its candidates and members can easily access and implement.

[genedan]

I see two Monographs on the GitHub, no's 13 and 15. Seems to be a recent practice and not standardized.

CAS oversight

What kind of oversight did you have in mind? If it's too overbearing, we might drive people away, but if it's too lax, things can get really messy and uncoordinated.

[henrydingliu]

I see two Monographs on the GitHub, no's 13 and 15. Seems to be a recent practice and not standardized.

sounds like there's some overdue tech debt. @kennethshsu do you have a regular touchbase with Morgan? what do you think of a CAS-sanctioned project where we stand up open source implementation of each monograph?

What kind of oversight did you have in mind? If it's too overbearing, we might drive people away, but if it's too lax, things can get really messy and uncoordinated.

i think of oversight as a two-way street. CAS should have clear directions on what capabilities it wants its membership to learn and have access to. it would then devote resources through its various arms to establishes those capabilities, we being one of those arms. it would give us resources, stuff like letting their marketing people help us promote our next release, or funding a hackathon to, iono, implement one of the MCMC papers. the oversight would be like, (pretend we are back in late 90/early 00) CAS wants to put out a few long tail methods to help with the asbestos crash, so we try to rally the collaborators to implement them into the package, even though we really want to work on, iono, brosius intercepts.

open source development catapulted the data science profession and built the foundation for the AI craze. actuaries have had maybe 3 decades headstart on data science than data scientists, yet we are woefully behind today. if you take a step back, our little group is essentially doing our own civil war re-enactment, because when mack, brosius, etc. came out in the 90's, they were the cutting edge of not just actuarial science but data science in general. 3 decades later these papers wallow in obscurity and data scientists easily outearn actuaries. the way forward is to arm each newly credentialled actuaries with a full arsenal of the entire exam syllabus they just went through, plus more, right here in the casact repo.

[kennethshsu]

Yes, the research committees meet quarterly, we can bring it up. Though I do think the monograph committee has been pushing for all authors to publish their code on GitHub, but not necessarily on CAS's org repo. For example Monograph 14 has the accompanying R code here.

[genedan]

We should write a monograph. It'll be called, "Monograph for actuaries who want to code good and do other things good too."

More seriously - I had an idea called "Designing Actuarial Packages". It could be a monograph, a journal paper, or a book, or just some lengthy Internet blog. It'll go to whoever accepts it.

I shelved it after having an existential crisis with the rise of LLMs. But after seeing their current limitations, I'm willing to pick it up again at some point.

[rajesh06]

FYI - My submission for the Loss Reserve Call Paper program is on GitHub at https://github.com/rajesh06/resv_call_2026 Thanks - Raj

…

On Wed, Jul 15, 2026 at 9:11 AM Gene Dan ***@***.***> wrote: We should write a monograph. It'll be called, "Monograph for actuaries who want to code good and do other things good too." More seriously - I had an idea called "Designing Actuarial Packages". It could be a monograph, a journal paper, or a book, or just some lengthy Internet blog. It'll go to whoever accepts it. I shelved it after having an existential crisis with the rise of LLMs. But after seeing their current limitations, I'm willing to pick it up again at some point. — Reply to this email directly, view it on GitHub <#680?email_source=notifications&email_token=AA42TYHDAWSF5KMGBD4I56L5E57IVA5CNFSNUABIM5UWIORPF5TWS5BNNB2WEL2ENFZWG5LTONUW63SDN5WW2ZLOOQXTCNZWGQ4TENZQUZZGKYLTN5XKO3LFNZ2GS33OUVSXMZLOOSWGM33PORSXEX3DNRUWG2Y#discussioncomment-17649270>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AA42TYAURGBVOOMXZBVCZ2T5E57IVAVCNFSNUABGKJSXA33TNF2G64TZHM4TIMZVHA4DOMZ3IRUXGY3VONZWS33OHM4TMNZQGI2DPILWAI> . Triage notifications, keep track of coding agent tasks and review pull requests on the go with GitHub Mobile for iOS <https://github.com/notifications/mobile/ios/AA42TYH47ZNGF73Y33FD4Q35E57IVA5CNFSNUABIM5UWIORPF5TWS5BNNB2WEL2ENFZWG5LTONUW63SDN5WW2ZLOOQXTCNZWGQ4TENZQUZZGKYLTN5XKO3LFNZ2GS33OUVSXMZLOOSVGM33PORSXEX3JN5ZQ> and Android <https://github.com/notifications/mobile/android/AA42TYC3TQDP7DTFAWDVHDL5E57IVA5CNFSNUABIM5UWIORPF5TWS5BNNB2WEL2ENFZWG5LTONUW63SDN5WW2ZLOOQXTCNZWGQ4TENZQUZZGKYLTN5XKO3LFNZ2GS33OUVSXMZLOOSXGM33PORSXEX3BNZSHE33JMQ>. Download it today! You are receiving this because you were mentioned.Message ID: ***@***.*** com>

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[genedan]

Thanks @rajesh06 ! Looking forward to it!