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Application of the artificial states method in individual reserving

Marlier, Arnaud
(2022)

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Marlier_36131500_2022.pdf
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Details

Supervisors
Denuit, Michel
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles, à finalité spécialisée
Abstract
As we know, modern non-life insurance aims to protect insured against the risk of a potential financial loss. The insured will therefore pay a certain amount to the insurer in order to be protected against this financial loss. Only the insurer will have to put money aside in order to be sure to be able to reimburse the insured if the claim ever occurs. This amount that has to be put aside is the reserve. In the Solvency II framework we will focus on the one-year risk view. We will therefore focus in this work on a particular individual reserving method, the artificial states method in individual reserving. This discrete-time stochastic model aim is to modelize the trajectories as well as the cash-flows of each claim individually, that in order to calculate the reserve and to have a view on the one-year risk.