Mortgage — Valuations & reserving

Milliman’s mortgage insurance and lender loan loss reserving framework leverages our unique combination of independence and depth of industry expertise to tailor custom models designed from either proprietary or industry data sources. Our models estimate the potential frequency and loss given default of mortgage loans from origination to their final termination.

Advantages of Milliman’s modelling framework include:

  • Responsiveness to changes in macro-economic conditions
  • Custom model training to client data and servicing history if available
  • Loan performance segmentation analysis for borrower, credit, product, geography and age of portfolio
  • Transparency of approach with complete model documentation and validation

The marriage of mortgage insurance and mortgage lending experience developed over the past 20 years and leading modelling techniques have yielded among the most auditor-respected modelling approaches in the industry. Clients leverage Milliman’s loan loss reserving framework for:

  • Benchmarking and validation of internal processes and modelling methodology
  • Delinquent portfolio valuation, loss reserving and risk management
  • Appointed actuary responsibilities for mono-line mortgage and financial guarantors
  • IRS dispute defense

Milliman’s extensive experience in consulting to the mortgage insurance industry yields unique perspective in reserve estimation. The Milliman framework examines a variety of methods to arrive at a best estimate of future delinquency related losses in consideration of a company’s definition of reserveable occurrence.


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Mortgage consulting

Mortgage compliance

Mortgage feasibility studies

Mortgage government services

Mortgage credit risk sharing analysis

Mortgage performance models

Practice Leaders

Connect with Milliman experts

Bjurstrom Kenneth

Kenneth Bjurstrom

Principal, Financial Consultant

Ken is a principal with the Milwaukee office of Milliman and joined the firm in 1998. He manages a practice dedicated to analyzing the financial risks associated with issuing and servicing mortgages, mortgage guaranty insurance, and mo...

Schmitz Michael

Michael Schmitz

Principal, Consulting Actuary

Michael Schmitz is a principal and consulting actuary in the Milwaukee office of Milliman and has been with the firm since 1993. Mike manages a practice dedicated to financial risks such as mortgage guaranty, financial guaranty, and cr...

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