Sökning: "Loss Reserving"

Hittade 5 uppsatser innehållade orden Loss Reserving.

  1. 1. Into the Trading Book: Estimating Expected Shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Robin Eric Schmutz; Leonard Schneider; [2023]
    Nyckelord :Expected shortfall; Trading book; Historical simulation; Parametric estimation; Backtesting; Business and Economics;

    Sammanfattning : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. LÄS MER

  3. 2. Individual Claims Modelling with Recurrent Neural Networks in Insurance Loss Reserving

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Julia Li; [2021]
    Nyckelord :recurrent neural network; loss reserving; insurance; deeptriangle; chain ladder; återkommande neural nätverk; reservsättning; skadeförsäkring; deeptriangle; chain ladder;

    Sammanfattning : Loss reserving in P&C insurance, is the common practice of estimating the insurer’sliability from future claims it will have to pay out on. In the recent years, it has beenpopulartoexploretheoptionsofforecastingthislosswiththehelpofmachinelearningmethods. LÄS MER

  4. 3. Micro-Level Loss Reserving in Economic Disability Insurance

    Master-uppsats, KTH/Matematisk statistik

    Författare :Robin Borgman; Axel Hellström; [2018]
    Nyckelord :Micro Model; IBNR; RBNS; Loss Reserving; Micro modell; IBNR; RBNS; Reservsättning;

    Sammanfattning : In this thesis we provide a construction of a micro-level reserving model for an economic disability insurance portfolio. The model is based on the mathematical framework developed by Norberg (1993). The data considered is provided by Trygg-Hansa. The micro model tracks the development of each individual claim throughout its lifetime. LÄS MER

  5. 4. Claim-level loss reserving for workers compensation insurance

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Stefan Ekberg; [2015]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  7. 5. Insurance Loss Reserving

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Theodor Bjarnason; Marcus Sjögren; [2014]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : The concept of run-o triangles is widely used within the actuarial eld. Its purpose is to estimate Incurred But Not Reported claims for insurance portfolios, in order to set appropriate reserves that are in compliance with regulatory requirements as well as the company's risk appetite. LÄS MER