[Forum SIS] Avviso di seminario-Katrien Antonio KU Leuven

[Angela Montanari]

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DIPARTIMENTO DI SCIENZE STATISTICHE
Università di Bologna
Via Belle Arti 41 - 40126 Bologna

e Unipol GRUPPO
Piazza costituzione 2/2
Bologna

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Avviso di seminario

KATRIEN ANTONIO

Research group Insurance
Faculty of Economics and Business, KU Leuven


Micro level stochastic loss reserving for general insurance

giovedì 5 giugno 2014 ore 11
aula III Via Belle Arti 41, Bologna


Abstract:

To meet future liabilities general insurance 
companies will set up reserves. Predicting future 
cash flows is essential in this process. The vast 
literature on (stochastic) loss reserving methods 
concentrates on data aggregated in run off 
triangles. However, a triangle is a summary of an 
underlying data set with the development of 
individual claims. We refer to this data set 
as  micro level  data. The talk will give an 
overview of our recent work on the analysis of 
such micro level data. We use detailed 
information of the time of occurrence of the 
claim, the delay between occurrence and reporting 
to the insurance company, the occurrences of 
payments and their sizes and the final 
settlement. Our model specifications are 
(semi)parametric. We calibrate the model to 
historical data and use it to project the future 
development of open claims. An out of sample 
prediction exercise shows that we obtain detailed 
and valuable reserve calculations. The talk ends 
with a discussion of ongoing research in this 
area, and a sketch of opportunities in the domain of disability insurance.


Keywords: general insurance, loss reserving, 
actuarial science, recurrent events, prediction, censoring




La S.V. è invitata


Prof. Angela Montanari
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Professor of Statistics

Department of Statistical Sciences

University of Bologna

Coordinator of the PhD Programme in Statistics

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mail address: Via Belle Arti 41  40126 Bologna Italy

tel: +39 051 2098255
fax:+39 051 232153
e-mail:angela.montanari at unibo.it

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