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401-3917-DRL 1 Credits DR D-MATH
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Stochastic Loss Reserving Methods

Lecturers & Examiners: Dr. René Dahms
Only for ETH D-MATH doctoral students and for doctoral students from the Institute of Mathematics at UZH. The latter need to send an email to Jessica Bolsinger ( ) with the course number. The email should have the subject „Graduate course registration (ETH)“.
VVZ CR n/a

Last Updated: 2026-02-05 16:07:27

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 estimate 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, inlcusive one practice lesson - Bootstrap Methods - Claims Development Result (solvency view) - Coupling of portfolios

Resources

Literature

M. V. Wüthrich, M. Merz, Stochastic Claims Reserving Methods in Insurance, Wiley 2008.

General Information

Language
English
Levels
DR
Frequency
Yearly recurring

Examination

Type
ungraded semester performance

Registration & Places

Priority: Registration for the course unit is only possible for the primary target group

Course Components

Type Title Time & Place Hours
lecture Stochastic Loss Reserving Methods
  • Wed 16:15-18:00 (LFV E 41)
2 h weekly

Offered In

  • Doctorate Mathematics (More Information at: )
    • Subject Specialisation (The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM.)
      • Graduate School (Official website of the Zurich Graduate School in Mathematics: In addition to the 401-....-DRL course units, adapted versions for doctoral students of the following course units: 263-4400-00L Advanced Graph Algorithms and Optimization 401-3902-21L Network & Integer Optimization: From Theory to Application 401-3904-22L Convex Optimization 401-3629-00L Quantitative Risk Management 401-3652-00L Numerical Methods for Hyperbolic Partial Differential Equations 151-0530-00L Nonlinear Dynamics and Chaos II 227-0434-10L Mathematics of Information 401-4490-22L Topology Optimization of Engineering Systems ... (continued ))