Schadenreservierung im Licht stochastischer Prozesse

In this article loss-reserves are handled with the methods and models for financial assets. In particular, the stochastic processes number of payments and size of the payment are modelled by an (inhomogeneous) poisson-process resp. an geometric brownian motion. In this model the cumulative payments are given by the stochastic integral. In an first step the conditional expectation, i.?e. the best estimator, of the payment-process is derived, where in an second step this expression is approximated by observations. Furthermore, the mean-square-error and an estimator of this expression is given.