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Stochastic Loss Reserving Methods
Last Updated: 2026-02-05 16:22:19
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
General Information
- Language
- English
- Levels
- DR
- Frequency
- Yearly recurring
Examination
- Type
- ungraded semester performance
Registration & Places
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Stochastic Loss Reserving Methods |
|
2 h weekly |
Offered In
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Doctorate Mathematics (More Information at: )
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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.)
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Graduate School (Official website of the Zurich Graduate School in Mathematics: )
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