401-3917-00L Stochastic Loss Reserving Methods
|Periodizität||jährlich wiederkehrende Veranstaltung|
|Kurzbeschreibung||Loss Reserving is one of the central topics in non-life insurance. Mathematicians and actuaries need to estimate adequate reserves for liabilities caused by 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 those loss reserves.|
|Lernziel||Our goal is to present various stochastic methods for claims reserving. These methods enable to set adequate reserves for liabilities caused by claims and to determine prediction errors of these predictions.|
|Inhalt||We will present the following stochastic claims reserving methods/models: |
- Stochastic Chain-Ladder Method
- Bayesian Methods, Bornhuetter-Ferguson Method, Credibility Methods
- Distributional Models
- Linear Stochastic Reserving Models, with and without inflation
- Bootstrap Methods
- Claims Development Result (solvency view)
- Coupling of portfolios
|Literatur||M. V. Wüthrich, M. Merz, Stochastic Claims Reserving Methods in Insurance, Wiley 2008.|
|Voraussetzungen / Besonderes||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, in particular conditional expectations.