401-3917-00L  Stochastic Loss Reserving Methods

Semester Autumn Semester 2012
Lecturers M. V. Wüthrich
Periodicity two-yearly course
Language of instruction English

Abstract Loss Reserving is one of the central topics in non-life insurance. Mathematicians and actuaries need to estimate adequate reserves for all open claims. These claims reserves have a direct influence on all financial statements, in calculating future premiums and in calculating solvency margins. We present various stochastic methods to calculate loss reserves.
Objective Our goal is to present various stochastic methods for claims reserving. These methods enable to set adequate reserves for open claims and to determine prediction errors of these predictions.
Content We will present the following stochastic claims reserving methods/models:
- Stochastic Chain-Ladder Method
- Bayesian Methods, Bornhuetter-Ferguson Method, Credibility Methods
- Distributional Models
- Generalized Linear Models
- Markov Chain Monte Carlo Methods
- Bootstrap Methods
- PIC Method
- Claims Development Result (solvency view)
Literature M. V. Wüthrich, M. Merz, Stochastic Claims Reserving Methods in Insurance, Wiley 2008.
Prerequisites / Notice This course will be held in English and counts towards the diploma "Aktuar SAV".
For the latter, see details under www.actuaries.ch.

Basic knowledge in probability theory is assumed.