Recent Advances in Stochastic Loss Reserving Workshop
Date: Monday 25 May 2015
Time: 9:00am – 4:00pm (registration from 8:30am)
Venue: Theatre 4, UNSW CBD Campus, 1 O'Connell Street Sydney NSW 2000
Cost: $495.00 (including GST) per person. Includes lunch & refreshments
The Recent Advances in Stochastic Loss Reserving Workshop will provide attendees with insights and techniques relating to some of the latest advances and developments in stochastic loss reserving for both single and multiple lines of business.
Workshop topics & format
Discussion will concentrate initially on the chain ladder model, and its extension to a stochastic framework that provides stochastic forecasts. This will address the question of risk margins for individual lines of business. The focus will then shift to multiple lines of business. The extension of the model to accommodate dependencies between the lines will be discussed, and its consequences for a multi-line risk margin developed.
A later section of the workshop will consider how any model structure may be converted to a stochastic model, and thence to a Generalised Linear Model. For simplicity of concept, this discussion will initially be presented in terms of the chain ladder, but will subsequently be extended to much more general models. Once again, the extraction of stochastic forecasts will be a major objective.
The workshop will be presented by Professors Mario Wüthrich and Greg Taylor, two of the thought leaders in the field.
Who should attend?
It is aimed at Actuaries who are interested in the application of stochastic reserving techniques, especially in situations involving multiple lines of business. It is expected that participants will have a good working knowledge of reserving techniques, as well as some foundation background on generalised linear models.
Mario V. Wüthrich is Professor in the Department of Mathematics at ETH Zurich, Honorary Visiting Professor at City University London and Honorary Professor at University College London. He holds a Ph.D. in mathematics from ETH Zurich. From 2000 to 2005, he held an actuarial position at Winterthur Insurance and was responsible for claims reserving in non-life insurance, as well as for developing and implementing the Swiss Solvency Test. He is a fully qualified Actuary SAA, serves on the board of the Swiss Association of Actuaries, and is editor of ASTIN Bulletin and the European Actuarial Journal.
Greg Taylor is an Adjunct Professor in the School of Risk and Actuarial Studies at UNSW Australia. From 1977 to 2013, he worked as a general insurance actuary, a consultant for all but two of those years. He has provided advice to most of Australia's large insurers, and to the Federal and a number of State governments and to state accident compensation schemes. He has published several books, and a number of papers in international research journals.
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