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Sitting in judgment... Actuary: What’s your one in 200? Underwriter: Last year’s loss ratio Actuary: How do you picture a bad year? Underwriter: Front page news Actuary: What would surprise you? Underwriter: Claims Actuary: Do you have any idea how my T-copula will look based on that information? Underwriter: Get out.
While this may not be exactly the way your
Dr Joseph Lo, Dr Ed Tredger and Bernadette Hlavka discuss the tricks and possible pitfalls when conducting a successful expert judgment elicitation meeting 30
last expert judgment elicitation meeting went, it hints at the fact that often actuaries don’t always know how best to ask for probabilistic information and the experts being examined know even less on how to provide it. The elicitation process is critically important, interesting and well within the scope of actuaries. As actuaries in the London market, who engage with such processes on a regular basis, we ambitiously embarked on a project to come up with a best practice approach. Reading through large amounts of material and drawing from our own experience we soon realised that this is an area that needs substantial specific research, possibly with the help of an industry working party, spanning over several years. Nevertheless, during our investigations we found some fundamental ideas that should be considered when beginning an elicitation process.
THE ACTUARY • November 2013 www.theactuary.com
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