Topic: "Recent developments in Claims reserving for Insurance"
Speaker: Prof. Mario V. Wuthrich, RiskLab, ETH Zurich
Time: 9:00 am, Friday 19 June
Audience: Students, Lecturers in Applied Mathematics, Financial Engineering
Claims reserving is one of the most important tasks in general insurance. The most commonly used models in claims reserving are Mack's stochastic chain-ladder model and the cross-classified over-dispersed Poisson model. These two models make rather restrictive assumptions about independence. In this workshop we consider two different models, the log-normal chain-ladder model and the cross-classified log-normal model, instead because these two models are much more flexible for dependence modeling. This workshop aims at describing these two models and at explaining how they are used in claims reserving, in particular, in the light of solvency considerations. This workshop is complemented by many examples and by sensitivity analysis that explains where one has to be careful in the use of these models.
1) Dependence modeling in multivariate claims run-off triangles, Merz, M., Wüthrich, M.V., Hashorva, E. (2013), Annals Actuarial Science 7, 3-15.
2) Wüthrich, M.V. (2012). Discussion of "A Bayesian log-normal model for multivariate loss reserving" by Shi-Basu-Meyers. North American Actuarial Journal 16/3, 398-401.
Mario V. Wüthrich is Professor in the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London, Honorary Professor at University College London, Adjunct Professor of University of Bologna and Swiss Finance Institute Professor. He holds a Ph.D. in mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as for developing and implementing the Swiss Solvency Test. He is a fully qualified Actuary SAA, serves on the board of the Swiss Association of Actuaries, and is editor of ASTIN Bulletin and the European Actuarial Journal.
Địa điểm: Phòng A2-104, Trường Đại học Quốc tế,
Khu phố 6, Phường Linh Trung, Quận Thủ Đức, Tp. HCM.