NMAA05117U Stochastic Processes in Non-Life Insurance (SkadeStok)

Volume 2013/2014
Education
MSc programme in Statistics
MSc programme in Acturial Mathematics
MSc programme in Mathematics-Economics
Content
Utility theory and its application in non-life insurance; stochastic processes in non-life insurance; ruin theory.
Learning Outcome
Knowledge:  At the end of the course, the student should have a working knowledge of the basic notions of utility theory and its application to insurance risk, including certain advanced topics, in particular, Pareto optimal risk exchange and the analysis of multiple risks.  Also, the student should develop a thorough understanding of renewal theory, perturbation techniques, and martingale techniques as they apply to problems in risk theory.  Furthermore, the student should develop a thorough understanding of the theory behind the Cramér-Lundberg model in the subexponential case.

Skills:  The students should develop theoretical skills for analyzing one-period insurance models using utility theory, and develop problem-solving skills for estimating ruin probabilities in non-life insurance mathematics in various settings, including the cases of classical and subexponential claims and some of their standard generalizations.

Competencies:  The students should be able to analyze one-period insurance models using methods from utility theory and characterize optimality for these models, and to understand the theoretical basis for these conclusions.  The student should also develop a working knowledge of renewal theory, perturbation arguments, and martingale techniques in connection with the Cramér-Lundberg model and some of its extensions.
Prior or concurrent enrollment in Bacproj-akt. VidSand 1.
4 hours of lectures and 3 hours of exercises per week.
  • Category
  • Hours
  • Exam
  • 25
  • Lectures
  • 28
  • Preparation
  • 138
  • Theory exercises
  • 15
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
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Marking scale
7-point grading scale
Censorship form
No external censorship
Criteria for exam assesment

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