Syllabus
1. Poisson process, processes with an intensity depending on time and state. Renewal processes.
2. Application of GLM in a multiplicative tariff structure. Models of claim frequency and claim severity.
3. Application of GLM in the analysis of development triangles. Mean square error of the IBNR reserve prediction and its estimate.
4. Bühlmann and Bühlmann - Straub models of credibility theory. Application in a multiplicative tariff structure and in reserving.
Annotation
Point processes and their application in modeling the arrival of insurance claims in time. Bayesian credibility theory.
GLM in reserving. Mean square error of a loss reserve estimate.