Stochastic Claims Reserving Methods in Insurance / Wiley Finance Series (PDF)

Preface. Acknowledgement. 1 Introduction and Notation. 1.1 Claims Process. 1.2 Structural Framework to the Claims-Reserving Problem. 1.3 Outstanding Loss Liabilities, Classical Notation. 1.4 General Remarks. 2 Basic Methods. 2.1 Chain-Ladder Method (Distribution-Free). 2.2 Bornhuetter-Ferguson Method. 2.3 Number of IBNyR Claims, Poisson Model. 2.4 Poisson Derivation of the CL Algorithm. 3 Chain-Ladder Models. 3.1 Mean Square Error of Prediction. 3.2 Chain-Ladder Method. 3.3 Bounds in the Unconditional Approach. 3.4 Analysis of Error Terms in the CL Method. 4 Bayesian Models. 4.1 Benktander-Hovinen Method and Cape-Cod Model. 4.2 Credible Claims Reserving Methods. 4.3 Exact Bayesian Models. 4.4 Markov Chain Monte Carlo Methods. 4.5 Bühlmann-Straub Credibility Model. 4.6 Multidimensional Credibility Models. 4.7 Kalman Filter. 5 Distributional Models. 5.1 Log-Normal Model for Cumulative Claims. 5.2 Incremental Claims. 6 Generalized Linear Models. 6.1 Maximum Likelihood Estimators. 6.2 Generalized Linear Models Framework. 6.3 Exponential Dispersion Family. 6.4 Parameter Estimation in the EDF. 6.5 Other GLM Models. 6.6 Bornhuetter-Ferguson Method, Revisited. 7 Bootstrap Methods. 7.1 Introduction. 7.2 Log-Normal Model for Cumulative Sizes. 7.3 Generalized Linear Models. 7.4 Chain-Ladder Method. 7.5 Mathematical Thoughts about Bootstrapping Methods. 7.6 Synchronous Bootstrapping of Seemingly Unrelated Regressions. 8 Multivariate Reserving Methods. 8.1 General Multivariate Framework. 8.2 Multivariate Chain-Ladder Method. 8.3 Multivariate Additive Loss Reserving Method. 8.4 Combined Multivariate CL and ALR Method. 9 Selected Topics I: Chain-Ladder Methods. 9.1 Munich Chain-Ladder. 9.2 CL Reserving: A Bayesian Inference Model. 10 Selected Topics II: Individual Claims Development Processes. 10.1 Modelling Claims Development Processes for Individual Claims. 10.2 Separating IBNeR and IBNyR Claims. 11 Statistical Diagnostics. 11.1 Testing Age-to-Age Factors. 11.2 Non-Parametric

Mario V. Wüthrich holds a Ph.D. in mathematics from ETH
Zurich (The Swiss Federal Institute of Technology Zurich). He
completed his postdoctoral work on statistical physics in 2000 at
the University of Nijmegen in The Netherlands. From 2000 to 2005,
he held an actuarial position at Winterthur Insurance (Switzerland)
where he was responsible for claims reserving in non-life
insurance, as well as developing and implementing the Swiss
Solvency Test. Since 2005, he has served as senior researcher and
lecturer at ETH Zurich with teaching duties in actuarial and
financial mathematics. He serves on the board of the Swiss
Association of Actuaries (SAA) and is joint editor of the Bulletin
SAA.

Michael Merz has been Assistant Professor for Statistics,
Risk and Insurance at the University of Tübingen since October
2006. He was awarded the internationally renowned SCOR Actuarial
Prize 2004 for his doctoral thesis in risk theory. After completing
his doctorate, he worked in the actuarial department of the Baloise
insurance company in Basel/Switzerland and gained valuable
practical working experience in actuarial science and quantitative
risk management. His main research interests are actuarial science
and quantitative risk management, with special emphasis on claims
reserving and risk theory. He is a referee for many academic
journals and has published extensively in leading academic
journals, including the ASTIN Bulletin and the
Scandinanvian Actuarial Journal.

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