1. CIA Annual Meeting Assemblée annuelle de l’ICA
June 29 & 30, 2006 Ÿ Les 29 et 30 juin 2006
Ottawa, Ontario
GRP-4 Group Disability Reserving

2. GRP – 4 Group Disability Reserving
Gary Walters – Current state of affairs
Peter Douglas – Stochastic LTD reserving
Barry Senensky – Claim-by-claim terminations
Please ask questions at end of any presentation

3. Group Disability Reserving Current State of Affairs
Based on a survey done fall 2005
14 responding companies
Covers $12B of LTD reserves and $1.6B Life waiver reserves
No companies use stochastic methods for morbidity

4. Group Disability Reserving Current State of Affairs
Adjudication of Life Waiver done with LTD yet reserve termination and mortality assumptions match for only 2 companies
12 Companies use CGDT/GLTD phased in after 2 to 10 years
20 year old US table!
Only one company varies termination by diagnosis, only 1 by incidence rate, 1 by COLA and 3 by province

5. Group Disability Reserving Current State of Affairs
Two companies do not allow for unknown CPP/QPP decisions, 7 of rest just reduce gross reserve by a %
Termination rates based on block or industry experience usually used for refund accounted groups
Morbidity PADs usually constant % of expected terminations, 5 companies do have some variation (usually by duration only)

6. Group Disability Reserving Current State of Affairs
LTD reserving is just not
Sensitive to the risks for each claim or
Sensitive to changes in the mix of business
Reflective of the level of fluctuation within a block

7. GRP – 4 Group Disability Reserving
Peter Douglas
Stochastic Morbidity Models for LTD

8. GRP – 4 Group Disability Reserving
Barry Senensky
An individual reserve for Dave!

9. GRP – 4 Group Disability Reserving
Questions?