Financial and Actuarial Mathematics  
TU Wien, Austria  

2008-07-08  PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Dr. Pavel V. Shevchenko

Principal Research Scientist
CSIRO Mathematical and Information Sciences

Model risk in claims reserving within Tweedie's compound Poisson models

We examine the claims reserving problem using Tweedie's compound Poisson model. Maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches are developed to fit the model and then estimated models are compared under different scenarios. The key point we demonstrate relates to comparison of reserving quantities with and without model uncertainty incorporated into the prediction. We consider both the model selection problem and the model averaging solutions for the predicted reserves. As a part of this process we also consider the sub problem of variable selection to obtain a parsimonious representation of the model being fitted. (Slides)

Zur Person: Pavel Shevchenko is a Principal Research Scientist in the Division of Mathematical and Information Sciences, Commonwealth of Scientific and Industrial Research Organisation (CSIRO) of Australia. He has published many papers in international journals and prepared numerous confidential/technical reports. In CSIRO, Pavel is leading research and commercial projects in the area of financial risk management, in particular: modelling market, credit and operational risks; option pricing; insurance; development of relevant numerical methods and software.
More information is available from people.csiro.au/S/P/Pavel-Shevchenko.aspx

Termin: Dienstag, 8. Juli 2008, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm B (gelber Bereich), 2. Stock,
Hörsaal FH 2

Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Gen.-Dir. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien