Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

322 Pages Posted: 23 Aug 2015

Date Written: August 21, 2015

Abstract

These notes are strongly motivated by practitioners who have been seeking for advise in stochastic claims reserving modeling under Solvency 2 and under the Swiss Solvency Test. There have been tremendous developments since the publication of our first book Stochastic Claims Reserving Methods in Insurance in 2008. Particularly the new solvency guidelines have added a dynamic component to claims reserving which has not been present before. This new viewpoint has motivated numerous new developments, for instance, the claims development result and the risk margin were introduced. The present text considers these new aspects, not treated in our previous book, and it should be viewed as completion to our first book.

Keywords: Claims reserving, non-life insurance run-off, chain-ladder method, Bornhuetter-Ferguson method, claims modeling, claims development result, risk margin, run-off uncertainty, conditional mean square error of prediciton

JEL Classification: G22, C11

Suggested Citation

Wuthrich, Mario V. and Merz, Michael, Stochastic Claims Reserving Manual: Advances in Dynamic Modeling (August 21, 2015). Swiss Finance Institute Research Paper No. 15-34. Available at SSRN: https://ssrn.com/abstract=2649057 or http://dx.doi.org/10.2139/ssrn.2649057

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

Michael Merz

University of Hamburg ( email )

Allende-Platz 1
Hamburg, 20146
Germany

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