NMAK22012U Reserving in Non-Life Insurance

Volume 2022/2023

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics


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 back-testing.


Learning Outcome


  • Various methods for claims reserving, their data requirements, their assumptions, their strengths and their weaknesses
  • Uncertainty quantification for some methods
  • Model selection and back-testing


  • A general ability to calcualte and evaluate claims reserves
  • Summarize, orally as well as in writing, key aspects of an actuarial research paper


  • Read and reflect on actuarial research papers
  • Know how to use R to solve practical problems

Lecture notes and research papers, which are made available on Absalon.

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.
4 hours of lectures per week for 7 weeks
  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 124
  • Project work
  • 42
  • Exam
  • 12
  • Total
  • 206
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.

All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners

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 must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.