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401-3917-00L 4 Credits BSC , DR , MSC D-MATH

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Stochastic Loss Reserving Methods

Lecturers & Examiners: Dr. René Dahms

VVZ CR n/a

Last Updated: 2026-02-05 16:22:17

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: BSC , DR , MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: oral 30 minutes

Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch

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

Mathematics (General Courses)
- Actuary SAA Education at ETH Zurich (Further pieces of information are available at Prof. M. Wüthrich's secretariat, HG F 42.)
Mathematics Bachelor
- Electives
  - Selection: Financial and Insurance Mathematics
Mathematics Master
- Electives (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
  - Electives: Applied Mathematics and Further Application-Oriented Fields (¬)
    - Selection: Financial and Insurance Mathematics
Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book UZH modules directly at the UZH. Those modules are not listed here.)
- Elective
  - MF (Mathematical Methods in Finance) (For possible additional course offerings see )