|29th - 30th November 2010 | Zagreb / Croatia|
The actuarial techniques of claims reserving are not only needed for the annual statement and internal profitability analyses but also for tariff calculations and risk modelling (Solvency II). Especially for discussions with auditors and rating agencies as well as for the construction of an internal risk model, a good understanding of the variability of the ultimate claims estimates is of high importance.
The seminar reviews the main reserving methods on the basis of their underlying stochastic model. This makes it possible to better understand the methods, to analyse their implications, to check whether a method fits the data and to calculate the variability of the reserve estimates (prediction error, range). Formulae (including numerical examples) for the prediction error of all methods treated are derived. The material (about 200 slides) is not only a compilation of well-known methods and models in a consistent terminology but contains also quite some unpublished work (e.g. treatment of large claims, business year volatility, simulation of run-off data).
There will be a lot of examples which can be applied by experienced actuaries in practice.