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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 16:37:25

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 - inflation, large claims, mid year reserving - 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