NOV. 5, 10 & 19, 2021 | Recent advances in Financial Modelling for Risk Manage
10/08/2021
NOV. 5, 10 & 19 , 2021 | Récentes avancées en modélisation financière appliquée à la gestion des risques
02/09/2021
Reserving in insurance: From collective methods to individual ones
DATE : Nov 30, Dec. 7 & 14, 2021
LENGHT :
Module 1 : from 13h to 17h30 (2x15 mins. break)
Module 2 & 3 : from 9h to 12h30 and from 13h30 to 17h00 (2x15mins break).
TYPE : Online or On-site in Brussels if wished
INDUSTRY : Insurance
EXPERTISE : Actuarial
LEVEL : All level
REQUIREMENTS : A computer with dedicated R packages
LANGUAGE : Speaker & Material in English
ACCREDITATION : 16 CPD points | 96 points PPC
PRICE :
Module 1 : 300€ excl. VAT (200€ if booked before Nov. 5)
Module 2 : 450€ excl. VAT (300€ early price)
Module 3 : 450€ excl. VAT (300€ early price)
STUDENT PRICE : 90€ excl. VAT for each module
Description
You want to know all the subtilities hidden behind the well-known methods you regularly use to compute the reserves of your company or want to learn about the Chain Ladder and GLMs you always heard about? You want to learn more about individual reserving? More specifically, about multistate model? If you do, this complete reserving training is made for you.
This course has been conceived by actuaries for actuaries, accounting for all the specificities of insurance data instead of simply re-using standard recipes borrowed from other fields. The sessions proceed step by step, recalling the fundamental statistical concepts behind the reserving techniques as Chain Ladder Mack’s model or GLM. A transition to individual reserving comes then by the presentation of the collective loss reserving before ending by the individual multistate model. Their relative merits are illustrated by means of several case studies with insurance data.
The sessions aim to be interactive, alternating between methodological parts and case studies performed in front of the audience. Participants are invited to bring their own PC. Documentation including data sets and R code is made available through a supporting website. The installation of R packages prior to attendance is required.
Program
MODULE 1 : Introduction to reserving
- Fundamental regulations about reserving
- Basics about classical collective reserving
- Chain Ladder and Mack’s models: their applications and limitations
- Links to the over dispersed Poisson model
MODULE 2 : More complex approaches to reserving
- Introduction to the GLM
- Application of GLM to reserving:
- Count and severity approach
- Lasso algorithm for the choice of variables
- Bootstrapping method - Limits of aggregate methods
- Introduction to a hybrid model
- The collective loss reserving
MODULE 3 : Micro reserving
- Introduction to micro reserving and the need of it
- Focus on the multistate individual reserving
- Detailed presentation of the principle
- Introduction to the analytical approach
- Computation of the reserve via simulations
- Computation of the reserve via an analytical method - One-year risk in the individual framework
Acquired skills
After completion of the training session, participants will have acquired a general knowledge of reserving in insurance. They will be able to select the appropriate approach for their own data, run the R code and interpret the results.
This training is given by
Julien Trufin & Michel Denuit | Scientific Directors
Christophe De Fays | Expert
Carole Bettonville & Elke Gagelmans | TCP Consultants
Louise D'Oultremont & Elise Santoro | TAP Consultants
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