Reserving in Non-Life Insurance

Course content

This course is an introduction to the claims reserving problem in non-life insurance. The course is a blend of theoretical content and practical exercises and there will be two major projects based on real world data. 

The first part of the course is on well established theory and methods.

Topics could include but are not limited to:

Stochastic claims reserving methods based on run-off triangles including Mack's model and models based on generalized linear models. Model extensions via age-period-cohort modelling. Uncertainty quantification both analytically and via bootstrap. Double chain ladder.  Granular claims reserving methods based on marked point processes.

In the second part of the course, students are asked to give presentations in groups on recent research papers on claims reserving in non-life insurance.

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

 

Skills:

  • A general ability to calcualte and evaluate claims reserves

 

Competences:

  • 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 which are made available on Absalon and research papers.

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 exam on basis of previous submission, 30 minutes (30-minute preparation time)
Type of assessment details
The students must hand in two group assignments that will form the basis of the 30 minutes oral exam. The exam will also include questions on the contents of the course. There will be 30 minutes preparation time before the oral exam.
Exam registration requirements

One mandatory group presentation must be approved before the student is allowed attending the exam. If the group presentation is not approved, the group can re-submit the presentation in written form.

Aid
Only certain aids allowed
  • All aids allowed during the preparation time
  • No aids during the oral examination
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners
Re-exam

Same as the ordinary exam. 

If the two mandatory homework assignments or the mandatory presentation were not approved before the ordinary exam they must be resubmitted. They must be resubmitted no later than four weeks before the beginning of the reexam week.

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)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 110
  • Exercises
  • 14
  • 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 limitation – unless you register in the late-registration period (BSc and MSc) or as a credit or single subject student.
Studyboard
Study Board of Mathematics and Computer Science
Contracting department
  • Department of Mathematical Sciences
Contracting faculty
  • Faculty of Science
Course Coordinator
  • Munir Eberhardt Hiabu   (2-706b437064776b316e7831676e)
Saved on the 14-02-2024

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