401-3917-00L Stochastic Loss Reserving Methods
Semester | Autumn Semester 2012 |
Lecturers | M. V. Wüthrich |
Periodicity | two-yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
---|---|---|---|---|---|---|---|
401-3917-00 V | Stochastic Loss Reserving Methods | 2 hrs |
| M. V. Wüthrich |
Catalogue data
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 Link. Basic knowledge in probability theory is assumed. |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | M. V. Wüthrich |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | oral 20 minutes |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. | |
Only public learning materials are listed. |
Groups
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Restrictions
There are no additional restrictions for the registration. |