Stochastic Models for Tariff Calculation, Loss Reserving and Reinsurance and Their Applications

What it is about

You learn stochastic models and their application in property and casualty insurance: fundamentals, rating, reserve and reinsurance. By the end you can model tariffs and reserves and evaluate simple reinsurance contracts as well as practical constraints such as data or model risks.

What you will be able to do

• Understand the fundamentals of property and casualty insurance
• Master the tariff formation process and the selection of tariff variables
• Carry out tariff calculation in structured tariffs
• Apply common methods of reserve development (e.g., Chain Ladder, Bornhuetter/Ferguson)
• Assess the uncertainty of loss reserves and calculate MSEP
• Understand principles of risk sharing and reinsurance
• Perform simple pricing of reinsurance deals
• Consider practical aspects (data limitations, legal requirements, model risk)

What the module consists of

• LectureConveying the theory on models, pricing, reserves and reinsurance
• occasional exercisesApplication of the lecture material and discussion of practical problems

Teaching method

• Lecture with slides and scriptfor structured delivery of the content
• Mathematical derivations at the boardfor deepening and traceability of the proofs
• Course discussionsto reflect on practical implications and applications