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Swiss Solvency Test - Reserving risk
The Wüthrich/Merz/Lysenko method implemented in the PillarOne reserving software gives a measure of the expected runoff result (or claims development result in the paper's terminology) of a given reserving triangle.
How does this compare to the methodology of the Swiss Solvency Test? Can it be used as proxy for it?
One obstacle is that the Wüthrich/Merz/Lysenko methodology returns a standard deviation but not a distribution of the expected runoff result.
Therefore, it would be of great interest to get some quantitative comparisons of both approaches on real business data sets. Of course such comparisons could be published without disclosing the true underlying company figures.
So ... who's first?
Stefan

