Reserving in Non-Life Insurance
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 backtesting.
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
- Various methods for claims reserving, their data requirements, their assumptions, their strengths and their weaknesses
- Uncertainty quantification for some methods
- Model selection and backtesting
- A general ability to calcualte and evaluate claims reserves
- Read and reflect on actuarial research papers
- Know how to use R to solve practical problems
4 hours of lectures and 2 hours of exercises 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.
- 7,5 ECTS
- Type of assessment
- Type of assessment details
- 30min oral examination with 30min preparation time.
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
Criteria for exam assessment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.
Single subject courses (day)
- Project work
- Course number
- 7,5 ECTS
- Programme level
- Full Degree Master
- Block 1
- No limit.
The number of seats may be reduced in the late registration period
- Study Board of Mathematics and Computer Science
- Department of Mathematical Sciences
- Faculty of Science
- Munir Eberhardt Hiabu (2-6f6a426f63766a306d7730666d)
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Courseinformation of students