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Individual multistate reserving

d'Oultremont, Louise
(2020)

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dOultremont_15431300_2020.pdf
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Details

Supervisors
Denuit, Michel
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles
Abstract
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.