DFG funds project to improve risk management at insurance providers

20 October 2022

Photo: UHH/Schöttmer

In the indemnity insurance industry, particularly loss reserves often represent one of the largest actuarial liabilities on the balance sheet—and thus also one of the biggest risk drivers. It is for this reason that great importance is attached to adequate determination of the loss reserves. Predicting these liabilities and quantifying their uncertainty therefore constitutes a core actuarial task. Different models exist to estimate the loss reserves, whereby one of the most common is the chain ladder method.

In their project entitled “Extending the Chain Ladder Method for Actuarial Practice,” Dr. Nataliya Chukhrova and Dr. Arne Johannssen from the Department of Mathematics and Statistics within the Faculty of Business Administration (Hamburg Business School) wish to investigate this loss reservation procedure and to develop new data science techniques for its improvement. The aim is to enable a more plausible basis for the calculation of loss reserves in order to improve insurance providers’ risk management. The German Research Foundation (DFG) is funding the project with a total of around €100,000.