VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.
Abstract
Loss Reserving is one of the central topics in non-life insurance. Mathematicians and actuaries need to estimate adequate reserves for open claims. These reserves have a direct influence on all financial statements, in calculating future premiums and in calculating solvency margins. We present various stochastic methods to calculate loss reserves.
Objective
Our goal is to present various stochastic methods for claims reserving. These methods enable to set adequate reserves for open claims and to determine prediction errors of these estimates.
Content
We will present the following stochastic claims reserving methods/models: - Stochastic Chain-Ladder Method - Bayesian Methods, Bornhuetter-Ferguson Method, Credibility Methods - Distributional Models - Generalized Linear Models
Resources
Lecture Notes
Lecture notes are in preparation
Literature
G. Taylor, Loss Reserving, An Actuarial Perspective, Kluwer Academic Publishers, 2000 M. Radtke, K.D. Schmidt, Handbuch zur Schadenreservierung, VVW Karlsruhe, 2004
General Information
- Language
- English
- Levels
- BSC , MSC , NDS
- Frequency
- Every two years
Examination
- Type
- session examination
- Mode
- oral 20 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture |
Stochastic Loss Reserving Methods
Does not take place this semester.
|
No time listed | 2 h weekly |
Offered In
-
-
-
-
-
MAS in Finance (For information and admission (and possibly more up-to-date information about the courses) see .)