Berlin 2008 – scientific programme

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 13: Poster Session (posters on display 10:00-19:00)

AKSOE 13.4: Poster

Wednesday, February 27, 2008, 17:30–19:00, Poster G

Parameter Estimation for a stochastic claim reserving model — •Magda Schiegl — Haydnstr. 6, D - 84088 Neufahrn

Claim reserving is a very important topic in property and casualty (P&C) insurance companies. The reserves represent the value of all liabilities arising from the insured portfolio. Therefore they have a huge influx on accounting and they are essential for the insurance company*s risk management. This is especially important in a time where the EU wide regulatory framework *Solvency II* is built up. A stochastic model for claim reserving has been introduced [1]. It consists of two parts: One model for the number of active claims and one for the claim payments. This model needs to be calibrated to the real world via appropriate data analysis and parameter estimation. We formulate the conditions on the claim data sets that can be used for calibration. Furthermore we apply methods of Bayes data analysis to estimate the model parameters. This allows us to implement our prior knowledge on the run off behaviour of the claims. We discuss the results of applying the calibration methods.

[1] M. Schiegl, A stochastic model for claim reserves in P&C insurance companies, AKSOE, DPG Conference, March 2007, Regensburg