19/20 Oct 2015 in Budapest
Workshop on Credibility Theory with a Strong Focus on Applications in Practice
Organised by the EAA - European Actuarial Academy GmbH in cooperation with the Magyar Aktuárius Társaság
Credibility is nowadays not only an indispensable actuarial technique for non-life and life, direct and re-insurance, but it is also applied more and more in the broader field of finance. It has a huge range of applications such as premium-calculation, experience rating, designing Bonus-Malus schemes, estimation of mortality- and disability-curves, claims-reserving, credit risk and operational risk. From a mathematical point of view, credibility-theory belongs to the field of Bayesian statistics and credibility estimators are best linear Bayes estimators.
The seminar addresses to both, to practitioners and to academics, to actuaries working in practice as well as to people from universities teaching actuarial science.
Participants should have a profound actuarial and mathematical background. But there is no pre-knowledge in credibility theory required. The theory will be presented from scratch, but in a rather quick manner.
Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.
Purpose and Nature
After a short introduction into credibility with some basics (e.g. the two urn-model) and some general results (e.g. the normal equations), the most important credibility-models such as the Bühl¬mann-Straub model, the Bühlmann-Straub model with a priori differentiation, the hierarchical credibility model, the multidimensional credibility model and the credibility regression model will be treated. For each of these models the formulae of the credibility estimators and their quadratic loss will be presented.
However the main focus of this workshop will be on practical examples. On the basis of worked out examples, most of them based on real data from practice, it is shown how credibility can be applied in practice.
These applications encompass:
To give the participants as much time as possible for hands-on exercises in a two-day seminar, many theorems will be presented without proof. But as the seminar is based on the following book, all results and proofs can be found there:
Bühlmann H. and Gisler A. (2005), A Course in Credibility Theory and its Applications, Springer Verlag
Venue & Accommodation
The seminar will take place at the hotel
Eurostars Budapest CenterKossuth Lajos utca, 7-9, 1053 Budapest, HungaryPhone: +36 1 328 5202Fax: +36 1 268 0001 www.eurostarsbudapestcenter.com
We arranged special prices for accommodation. The special price is 82 € per night for a single room, including breakfast and taxes. It is valid for bookings by 4 October 2015 out of our allotment “EAA Seminar”. Our allotment includes a limited number of rooms. Kindly book your accommodation directly with the hotel, and note the hotel’s cancellation policy.
CLASSIC Sponsor of the Seminar