Claims Reserving


At the end of this unit the student will have acquired the knowledge, skills and competences that allow her/him to evaluate the claim reserving of a line of business in non life insurance. Distinguish IBNR concept from IBNER. Understand the impact of inflation on data. Understand each method presented. Choose the best method to evaluate the claim reserving. Report the results in the Solvency II environment.

General characterization





Responsible teacher

Maria de Lourdes Belchior Afonso


Weekly - 3

Total - 48

Teaching language



The students should be provided with knowledge about probabilities and statistics, GLM, credibility theory.


Faculty of Actuaries (1997) Claim Reserving Manual
Taylor, G., Loss Reserving: An Actuarial Perspective, Kluwer, 2000, Boston
Wüthrich, M.V., Merz, M., Stochastic Claims Reserving Methods in Insurance, Wiley Finance, 2008

Teaching method

In lectures we will explain and discuss program topics of the course. The themes are introduced by the teacher, consolidated whenever possible with real examples taken from the insurance industry. Students will develop practical assignments (in class and outside of class), whose aim is to consolidate the concepts that were learned in the classroom.
The lessons being held in a computational lab will ensure contact with easy to find informatic applications (Excel and R Project).
Continuous assessment consists of three evaluation moments (tests, practical assignments). The final exam is about the whole subject.

Evaluation method

Frequency is obtained by presenting one of the TP.

Approval in the regular season

The evaluation in normal season consists of: 1 mini test and 2 group assignments to be done during the class period and one individual report. Let MT ,TP1 , TP2 and R be the scores obtained, respectively, in the mini test and in the two assignments and in the report. Let AC=0.2MT+0.3*TP1+0.3*TP2+0.2*R be the classifications obtained at the regular season. The student is approved in the regular season if AC>=9.5

Subject matter

Introduction to Technical Provisions.
Claims Reserving.
IBNR and IBNER Concepts.
Considerations about Inflation.
The run-off triangles and the ultimate.
Deterministic models (link ratio, grossing up).
Stochastic models (Thomas Mack, bootstrap, credibility models, GLM based models, others).
Presentation and interpretation of results for Solvency II.


Programs where the course is taught: