NMAK22012U Reserving in Non-Life Insurance
Volume 2023/2024
Education
MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics
Content
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.
Learning Outcome
Knowledge:
- Various methods for claims reserving, their data requirements, their assumptions, their strengths and their weaknesses
- Uncertainty quantification for some methods
- Model selection and backtesting
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
Literature
Lecture notes and research papers, which are made available on Absalon.
Recommended Academic Qualifications
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.
Academic qualifications equivalent to a BSc degree is recommended.
Teaching and learning methods
4 hours of lectures and 2
hours of exercises per week for 7 weeks.
Workload
- Category
- Hours
- Lectures
- 28
- Preparation
- 110
- Exercises
- 14
- Project work
- 42
- Exam
- 12
- Total
- 206
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Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination
- Type of assessment details
- 30min oral examination with 30min preparation time.
- Exam registration requirements
Two mandatory assignments must be approved before the student is allowed attending the exam.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
- Re-exam
Same as ordinary exam.
If the two mandatory homework assignments 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 assesment
The student should convincingly and accurately demonstrate the knowledge, skills and competences described under Intended learning outcome.
Course information
- Language
- English
- Course code
- NMAK22012U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- C
- Course capacity
- No limit.
The number of seats may be reduced in the late registration period
Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinators
- Munir Hiabu (2-7c774f7c7083773d7a843d737a)
Saved on the
28-02-2023