Reserving in Non-Life Insurance

Course content

Introduction of the claims reserving problem.

Topics could include but are not limited to:

  • Reserving methods based on a loss triangle. Chainladder and various extensions. Stochastic methods including Mack's model and generalized linear models and other flexible structures. Uncertainty quantification both analytically and via bootstrap. 
  • Reserving methods based on a loss triangle and additional data.
  • Granular claims reserving methods based on marked point processes.
  • Machine learning methods for claims reserving.
  • Model selection and back-testing.

 

Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Learning outcome

Knowledge:

  • Various methods for claims reserving, their data requirements, their assumptions, their strengths and their weaknesses
  • Uncertainty quantification for some methods
  • Model selection and back-testing


Skills:

  • A general ability to calcualte and evaluate claims reserves
  • Summarize, orally as well as in writing, key aspects of an actuarial research paper


Competences:

  • Read and reflect on actuarial research papers
  • Know how to use R to solve practical problems

4 hours of lectures per week for 7 weeks

Lecture notes and research papers, which are made available on Absalon.

Non-life insurance 2 (Skade 2) or similar. A class in regression is very useful. It is possible to follow the class without these, but of course it will be more demanding.

Academic qualifications equivalent to a BSc degree is recommended.

Collective
ECTS
7,5 ECTS
Type of assessment
Oral examination
Type of assessment details
30min oral examination with 30min preparation time.
Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners
Criteria for exam assessment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 124
  • Project work
  • 42
  • Exam
  • 12
  • English
  • 206

Kursusinformation

Language
English
Course number
NMAK22012U
ECTS
7,5 ECTS
Programme level
Full Degree Master
Duration

1 block

Placement
Block 1
Schedulegroup
C
Capacity
No limit.
The number of seats may be reduced in the late registration period
Studyboard
Study Board of Mathematics and Computer Science
Contracting department
  • Department of Mathematical Sciences
Contracting faculty
  • Faculty of Science
Course Coordinator
  • Munir Hiabu   (2-7c774f7c7083773d7a843d737a)
Saved on the 12-05-2022

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