The main objective of this mini-course is to study advanced actuarial models in non-life insurance and to introduce some claims reserving methods which are relevant to actuarial practice. The contents covered by this mini-course are the following.
Distribution of aggregate claims
· Collective risk model
· Calculation of aggregate claims distribution
· Individual risk model versus collective risk model
Incurred But Not Reported (IBNR) techniques
· Chain-ladder method
· Bornhuetter-Ferguson method
· Bayesian models
· Distributional models
· Models for claim counts
· Construction of an optimal BMS
· Bonus-Malus scales
· Other topics (severity, hunger for bonus)
Claim surplus process (optional)
· Discrete time risk models
· Continuous time risk models
- Loss Models,
4th Edition, 2012, by S.A. Klugman, H.H. Panjer and G.E. Willmot, Wiley.
- An introduction to Mathematical Risk Theory
, 1979, by H.U. Gerber, S.S. Huebner Foundation for Insurance, U. of Pennsylvania.
- Modern Actuarial Risk Theory,
2001, by R. Kass, M. Goovaerts, J. Dhaene and M. Denuit, Kluwer Academic Publishers.
- Stochastic claims reserving methods in insurance,
2008, by M.V. Wüthrich and M. Merz, John Wiley & Sons, Ltd.
- Bonus-Malus Systems in Automobile Insurance,
1995, by J. Lemaire, Kluwer Academic Publishers.
Insurance Risk and Ruin,
2005, by D.C.M. Dickson, Cambridge University Press.