Olivier Lopez, UPMC Paris VI

May 17, 2018

14:00-18:15 on 17/05 and 14:00-18:15 on 18/05

Free for PhD students/Post-Docs/Academics; 100 euros Participation Fee for Other Participants


ISBA - C045 (Salle Gauss)

Short Course by Olivier Lopez on "Survival analysis methods for micro-level claim reserving"

17/05/2018 and 18/05/2018 at ISBA, UCL, Louvain-la-Neuve
Please register on-line : Registration Form
Course Title and Content

Survival analysis methods for micro-level claim reserving

In this short course, we will present how the use of survival analysis techniques may help to predict the amount of RBNS claims (Reported But Not Settled). By taking account for the censoring and truncation present in the databases, we will see how to model the dependence between the amount of a claim and the time before its settlement, and how to use it to estimate the final amount. We will also consider closely related problems (evaluation of the customer value in a simple framework).
I - A simple censoring model for RBNS claims
               1) Description of the model
               2) Specificities compared to a classical survival analysis problem
II - Copula modeling
               1) Copula model and estimation
               2) Prediction method
III - General censoring and truncation
               1) General bivariate censoring/truncation model
               2) Dependent censoring
               3) Another example: customer value in online subscription
IV - Machine learning techniques
               1) Regression trees
               2) Random forests
CPD points: 8
Venue and schedule
ISBA - C045 (Salle Gauss)
Voie du Roman Pays 20
1348 Louvain-la-Neuve
Thursday 17/05/2018 : 14:00 - 18:15
Friday 18/05/2018 : 14:00 - 18:15
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