Next (and last) lecture 16th of November.

Next week there will be no lecture. Then we will have our last lecture on Friday the 16th of November. We will devote this lecture to the use of the Chain-Ladder method for estimating reserves. This is the most simple (and also used) method. We will see what it is based on and its restrictions. For this purpose I recommend you to take a look at the summary given in this paper.

The exam will most likely include a short question on this technique.

Comment about the assignment: Do not worry if you reject the hypothesis that the data comes from a Pareto distribution. Just continue with the analysis assuming so. You may also try to cut extreme values which actually are transfered to the reinsurance company and compute the premium based on observations below 100000nok. An alternative is to use the empirical density as underlying density for all possible claims.

Have a nice weekend, and see you in two weeks!