Research Group on Risk in Finance and Insurance
| RFA - IREA - University of
Barcelona |
Summer School 2011
Claims Reserving
Methods in General Insurance: state-of-the-art and recent developments
By Katrien Antonio (University of Amsterdam and the K.U.Leuven, Belgium)
Date: April 26 (noon – 3pm) and April 27 (9am – noon)
Location: Faculty of Economics and Business, University of Barcelona
Abstract
In this short course (6h) the participant will get an overview of the state of the art techniques in stochastic loss reserving for general insurance. An introduction to recent developments in this field is given as well. The course starts with an introduction of different products / lines of business involved in the P&C (ie property & casualty) branch, as well as the healthcare domain. An overview of traditional loss reserving methods follows. New developments and requirements with respect to the Solvency 2 directive are discussed. The course ends with a discussion of selected (technical) topics, eg the combination of paid-incurred data, the combination of data from multiple lines of business, the use of micro-level data, … Throughout the course demonstrations with statistical software packages and spreadsheets are given (R, WinBugs and Excel).
Program
Day 1 (April 26)
- Introduction: products, lines of business, aims, data description;
- Traditional techniques: chain-ladder, GLMs, bootstrap;
- Traditional techniques: Bayesian implementation;
- Challenges from Solvency 2 : discounting, BE, risk margin, CoC, SCR, CDR;
- Advanced topics: (selection) micro-level data, paid-incurred, correlated triangles.
Academic information
Dr. Katrien Antonio is an assistant professor in actuarial science at the University of Amsterdam and the K.U.Leuven (Belgium). She obtained a PhD from KU Leuven with a thesis entitled ‘Statistical tools for non-life insurance: essays on claims reserving and ratemaking for panels and fleets’. Her research involves stochastic models for actuarial science: claims reserving, tarification, mortality models, operational risk,… Katrien is teaching actuarial science and statistics at both the University of Amsterdam and K.U.Leuven. More information is available from:
http://home.medewerker.uva.nl/k.antonio
Scientific papers in the field of loss reserving and papers available from the teacher’s website;
Wüthrich and Merz (2008). Stochastic claims reserving methods in insurance. Wiley.
BIRMSS April 26, 2011