NMAA05070U Basic Non-Life Insurance Mathematics (Skade1)
The course will give an overview of some important elements of
non-life insurance and reinsurance:
Models for claim numbers: the Poisson, mixed Poisson and renewal
process
Stochastic models for non-life insurance risks, in particular the
compound Poisson,
compund mixed Poisson and renewal models
Large and small claim distributions
Premium calculation principles for the total claim amount of a
portfolio
Ruin probability
Experience rating: calculation of the premium for a policy
Credibility theory
At the end of the course, the students are expected to have the
following knowledge:
Definition and properties of claim number processes; in particular
Poisson processes, mixed Poisson processes and renewal processes.
Definition and properties of total claim amount processes in a
portfolio.
The Cramer-Lundberg and the renewal model as basic risk models.
Methods for approximating the distribution of risk models.
Small and large claim distributions and their properties.
Bounds for ruin probabilities of risk processes.
Premium calculation principles and their properties.
Reinsurance treaties and their properties.
Bayesian methods in a non-life insurance context, in particular the
Bayes and linear Bayes estimators for calculating the premium in a
policy.
The student will gain the following skills:
-Calculation of distributional characteristics of
the claim number and total claim amount processes, in particular
their moments.
-Calculation of premiums for a non-life (re)insurance
portfolio and a non-life individual policy.
-Statistical skills for analysizing small and large claim
data.
-Risk analyses in a non-life portfolio.
-Proficiency in Bayesian methods in a non-life insurance context.
Competences:
At the end of the course, the student will be able to
relate and illustrate theory and practice in a non-life insurance
company.
He/she will be able to read the actuarial non-life literature and
be operational in premium calculation and risk
analysis.
T. Mikosch, Non-Life Insurance Mathematics, An Introduction with
the Poisson Process.
2nd edition, Springer, 2009
- Category
- Hours
- Exam
- 3
- Lectures
- 35
- Preparation
- 147
- Theory exercises
- 21
- Total
- 206
As
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Continuing Education - click here!
- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours under invigilation---
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
- Re-exam
- 30 minutes oral examination with 30 minutes preparation. During the preparation time all written aids are allowed. During the examination the student is allowed to consult a short note taken during the preparation time
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- NMAA05070U
- Credit
- 7,5 ECTS
- Level
- Bachelor
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- C (Mon 13-17 + Wednes 8-17)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Thomas Valentin Mikosch (7-6f6b6d7175656a426f63766a306d7730666d)
Lecturers
Olivier Winterberger