401-3917-00L Stochastic Loss Reserving Methods
| Semester | Spring Semester 2020 |
| Lecturers | R. Dahms |
| Periodicity | yearly recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | ||||
|---|---|---|---|---|---|---|---|
| 401-3917-00 V | Stochastic Loss Reserving Methods no class on 11 March 2020 | 2 hrs |
| R. Dahms |
Catalogue data
| 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. |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | R. Dahms |
| 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 30 minutes |
| Additional information on mode of examination | Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch |
| 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
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
