NSCPHD1209 Non-Parametric Statistical Methods in Insurance

Volume 2013/2014
Education
MSc Programme in Actuarial Science
Content
Basic theory of counting processes, martingale methods,
estimation with truncated and censored data, Kaplan-Meier estimation with asymptotic properties, Cox regression, kernel methods, nonparametric regression.
Learning Outcome
Knowledge: A good knowledge of the theory and practical use of nonparametric methods in insurance, with particular emphasis on non-life insurance. In particular be able to:
Identify the difference between truncated and censored data, and how they are treated statistically
Use martingale methods to estimate hazard rates
Use non parametric likelihood to estimate hasard rates
Know the Kaplan-Meier estimates and their asymptotic properties
Know how the Cox regression can be deducted by non parametric likelihood
Know how densities and hazard rates can be smoothed by kernel methods
Have some knowledge about non parametric regression
Use R to solve practical problems

Skills: To be able to understand and  apply nonparametric methods in practice

Competences: Have a good insight into various nonparametric methods and the application of these
A good statistical background, for example Non-life 2 in the 2013 or 2014 version
5 hours of lectures per week for 7 weeks
  • Category
  • Hours
  • Course Preparation
  • 135
  • Exam
  • 3
  • Lectures
  • 28
  • Project work
  • 40
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
The exam consists of problems that can be solved using the theory taught in the class
Exam registration requirements
Two mandatory assignments must be approved and valid before the student is
allowed attending the exam.
Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner.
Re-exam
30 minutes oral exam with several external examiners. No preparations. The two mandatory assignments must be approved and valid
Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.