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401-3917-00L 4 Credits BSC , MSC , NDS D-MATH
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Stochastic Loss Reserving Methods

Lecturers & Examiners: Prof. Dr. Mario Valentin Wüthrich
VVZ CR n/a

Last Updated: 2026-02-05 15:23:57

Abstract

Loss Reserving is one of the central topics in non-life insurance. Mathematicians and actuaries need to estimate adequate reserves for all open claims. These claims 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 - Markov Chain Monte Carlo Methods - Bootstrap Methods

Resources

Lecture Notes

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

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
  • Mon 16:15-18:00 (HG D 7.1)
2 h weekly

Offered In