401-3917-00L  Stochastic Loss Reserving Methods

Semester Spring Semester 2017
Lecturers R. Dahms
Periodicity 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 liabilities caused by claims. These claims reserves have influence all financial statements, future premiums and solvency margins. We present the stochastics behind various methods that are used in practice to calculate those loss reserves.
Objective Our goal is to present the stochastics behind various methods that are used in prctice to estimate claim reserves. These methods enable us to set adequate reserves for liabilities caused by 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
- Linear Stochastic Reserving Models, with and without inflation
- Bootstrap Methods
- Claims Development Result (solvency view)
- Coupling of portfolios
Literature M. V. Wüthrich, M. Merz, Stochastic Claims Reserving Methods in Insurance, Wiley 2008.
Prerequisites / Notice The exams ONLY take place during the official ETH examination periods.

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.