Financial and Actuarial Mathematics
TU Wien, Austria

Obligatorische Weiterbildung für Aktuare (CPD)

Schadensreservierung (in engl. Sprache) (ca. 20 CPD-Punkte)

Kostenpflichtig, Anmeldung erforderlich (Details und Online-Formular)

   VISS 2011 - Vienna International Summer School
   "Stochastic Claims Reserving Methods in Insurance" (Schadensreservierung)


   Monday, July 4 - Friday, July 8, 2011

   Vienna University of Technology,
   Freihaus Building, Wiedner Hauptstraße 8, 1040 Wien
   Lecture Hall "Freihaus Hörsaal 1"

   Alois Gisler, ETH Zurich
   Mario Wüthrich, ETH Zurich

   One of the main tasks of non-life actuaries is to predict the outstanding 
loss liabilities. This prediction is called claims reserves and it should 
suffice to settle all open claims. These claims reserves are, on the one hand, 
an important basis for premium calculations and, on the other hand, they have a 
decisive impact on the profit and loss account, as they constitute the biggest 
financial position on the liability side of a non-life insurance company's 
balance sheet. An adverse claims development is also the biggest insurance risk 
for solvency considerations. Therefore, it is very important to have accurate 
claims reserves and precise information about the uncertainties in these claims 
   In the lectures we consider "Stochastic Claims Reserving Methods in Insurance" 
which exactly copes with the issues of having accurate claims reserves and 
information about their uncertainties. Our focus will be on methods and techniques 
relevant for practice. First we treat several well-known methods such as the chain 
ladder method and the Bornhuetter-Ferguson method, but together with the 
corresponding underlying stochastic models and including the estimators for the 
mean square error of prediction. In addition we will also present new methods such 
as the paid-incurred chain method. With regard to the reserve uncertainty, we will 
treat the classical view of the "ultimate" reserve risk as well as the recently 
emerged "one-year" reserve risk needed for solvency purposes and leading to the 
cost-of-capital loading. The lectures are complemented by computer exercises, for 
which no prerequisite knowledge is needed.

 - Introduction to claims reserving
 - Chain ladder method (classical and Bayesian model)
 - Bornhuetter-Ferguson, Cape-Cod and loss-ratio methods
 - Over-dispersed Poisson and generalized linear model methods
 - Paid-incurred chain method
 - Simulation techniques such as bootstrap and
   Markov chain Monte Carlo method
 - One-year view, claims development result and
   cost-of-capital loading for the runoff 

LANGUAGE: English 

Practicing actuaries as well as researchers and advanced students
with a good general knowledge of probability and statistics. 

Actuaries can earn up to 20 CPD points for attendance to this
Vienna International Summer School. 

For early registrations until April 30, 2011, a discount of EUR 100 is allowed.
For members of the Actuarial Association of Austria (AVÖ) a discount of EUR 100
is allowed (in case of early registration one can save EUR 200).
For companies who will send more than one participant, we offer corporate rates.


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