MCFAM Seminar Series: “Stochastic Claims Reserving in Short-term Insurance Contracts"
About the lecture
Claims reserving for general insurance business has developed significantly over the recent past. There has always been a slight mystery in short-term insurance contracts of how to go about reserving for claims that have not yet come in and are still in some sense a figment of the future. Stochastic models for triangular data are derived and applied to claims reserving data. The standard actuarial technique, the chain ladder technique, is given a sound statistical foundation and considered as a linear model. The chain ladder technique and the two-way analysis of variance are employed for purposes of estimating and predicting the IBNR claims reserves. Insurance claims variables are non-normally distributed and, therefore, a measure that will capture the dependence among the variables better than the usual correlation that is employed. One such method is the use of copulas.
About the speaker
Patrick Weke has been a full professor of actuarial science and financial mathematics in the School of Mathematics at the University of Nairobi since 2014. He graduated with a Bachelor of Science (Honors) in Mathematics, Statistics and Computer Science in 1986 from the University of Nairobi; a Master of Science in Mathematical Statistics in 1988 from the University of Nairobi; a Master of Science in Actuarial Science in 1992 from The City University, London; and a Ph.D. in Applied Actuarial Statistics in 2001 from Harbin Institute of Technology, China. Weke has been an Honorary Fellow of The Actuarial Society of Kenya since 2017, and he is also involved in the following academic and professional activities:
- Director, School of Mathematics, University of Nairobi (2014-2020)
- Head, Actuarial Science and Financial Mathematics Division (2006-2014)
- Advisory Committee Member, Barclays Africa Chair in Actuarial Science, University of Pretoria, South Africa (2013-present).
- Director, UAP Life Assurance Ltd
Weke has also successfully supervised 11 Ph.D. candidates and over 40 Master of Science candidates in Actuarial Science and Financial Mathematics. He has published more than 50 articles in refereed journals, two textbooks, three chapters in books, and 20 conference proceedings.