​​"Claims reserving methods and Non-life premium and reserve risk under Solvency II"

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Contents​:

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Abstract 
 

0 INTRODUCTION 
 

1 SOLVENCY II 
  1.1 Solvency II
  1.2 Valuation in level II implementing measures

    1.2.1 Asset and other liabilities
    1.2.2 Technical Provisions in Non-life 
      1.2.2.1 Technical provisions valuation process
  1.3 SCR Standard formula
    1.3.1 Overall structure of the SCR
    1.3.2 SCR Non-life underwriting risk module
      1.3.2.1 Non-life premium & reserve risk sub-module
      1.3.2.2 Non-life CAT risk sub-module
    1.3.3 Undertaking specific parameters
      1.3.3.1 Computation of USP for the standard deviation for reserve risk
 

2 DETERMINISTIC METHODS 
  2.1 Introduction and notation
  2.2 Basic methods 
  2.3 Chain-ladder with inflation and tail factor method
  2.4 Bornhuetter-Ferguson method 
 

3 STOCHASTIC METHODS 
  3.1 Introduction and Mean Square Error of Prediction 
  3.2 Mack model i.e. Distribution-free CL model 
  3.3 Log-normal model for cumulative claims
  3.4 Generalized linear models GLM
    3.4.1 Introduction to Generalized Linear Models 
    3.4.2 GLM Over-dispersed Poisson with MLE
    3.4.3 GLM Gamma with MLE 

3.5 Bootstrap technique 

    3.5.1 Introduction to Bootstrap
    3.5.2 Exponential Distribution Family with Bootstrap 
      3.5.2.1 GLM Over-dispersed Poisson and Gamma with bootstrap step-by step
 

4 MERTZ-WUTHRICH MODEL AND PREDICTION ERROR FOR SOLVENCY PURPOSES 
  4.1 Mertz-Wuthrich model and prediction error for solvency purposes 
 

5 COMPUTATION OF NON-LIFE PREMIUM AND RESERVE RISK SUB-MODULE 
  5.1 Computation of Best Estimate Liabilities for outstanding claim 
  5.2 Capital charge for Non-life premium and reserve risk in according to standard formula 
  5.3 Capital charge for Non-life premium and reserve risk in according to undertaking-specific standard formula 
 

6 CONCLUSION
  6.1 Comparison and comments about claim reserving methods 
  6.2 Comparison between standard formula and undertaking-specific standard formula
 

Appendix A 
 

Bibliography 
 

Thanks