Individual multistate reserving

By : d'Oultremont, Louise [UCL] Directed by : Denuit, Michel [UCL]

Computation of reserves is essential to meet Solvency II requirements. In this master's thesis, an individual semi-Markov multi-state model giving the trajectory of each claim is fitted on an insurance claim portfolio. Based on it, the reserve and the one-year risk of the portfolio are computed. These results are obtained using two different methods that are then compared: simulations of the different trajectories and an analytical approach using Markov matrices.

Access type : Accès interdit
Year : 2020
Keywords : Reserving, one-year risk, multi-state model, best estimate
Language : Anglais
Faculty : Faculté des sciences
Degree : Master [120] en sciences actuarielles
Access statement : La diffusion de ce mémoire n'est pas autorisée par l'institution
Bibliographic reference d'Oultremont, Louise. Individual multistate reserving. Faculté des sciences, Université catholique de Louvain, 2020. Prom. : Denuit, Michel.
Permanent URL http://hdl.handle.net/2078.1/thesis:24822