401-3917-00L  Stochastic Loss Reserving Methods

SemesterAutumn Semester 2012
LecturersM. V. Wüthrich
Periodicitytwo-yearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3917-00 VStochastic Loss Reserving Methods2 hrs
Mon16:15-18:00HG E 1.2 »
M. V. Wüthrich

Catalogue data

AbstractLoss 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.
ObjectiveOur 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.
ContentWe 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)
LiteratureM. V. Wüthrich, M. Merz, Stochastic Claims Reserving Methods in Insurance, Wiley 2008.
Prerequisites / NoticeThis 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 credits4 credits
ExaminersM. V. Wüthrich
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

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Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation