Modelling of technical reserves of an insurance company
Lyzhechko Mariia Serhiivna
The insurance industry and the actuarial science are currently facing quite a lot of fascinating challenges. One of them is new requirements for loss reserve calculations. In this work, we have considered two common classical deterministic methods for loss reserving – the Bornhuetter-Ferguson method and the chain-ladder method as well as two modifications of famous stochastic models – the Mack method and the bootstrapping technique. In order to achieve the realistic prognosis of future losses, we have set the desired confidence level, in other words, the probability of a liability fulfillment. We have also juxtaposed deterministic and stochastic results and calculated the additional amounts that have to be reserved in order to reach the confidence level if this additional reserving has been needed. Furthermore, the time value of money and the inflation impact have been taken into account in all cases. In order to perform these calculations and build plots that illustrate the obtained results, we have used R – the programming language and environment for statistical computing and graphics (IDE: RStudio).
Галузь знань та спеціальність
11 Математика та статистика , 113 Прикладна математика
Lyzhechko M. S. Modelling of technical reserves of an insurance company : graduation thesis … master's : 113 Applied Mathematics / Lyzhechko Mariia Serhiivna. - Kyiv, 2020. - 63 p.