NMAA05117U Stochastic Processes in Non-Life Insurance (SkadeStok)
Utility theory and its application in non-life insurance; stochastic processes in non-life insurance; ruin theory.
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.
- Category
- Hours
- Exam
- 25
- Lectures
- 28
- Preparation
- 138
- Theory exercises
- 15
- Total
- 206
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- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours under invigilation---
- Aid
- Written aids allowed
- 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.
Course information
- Language
- English
- Course code
- NMAA05117U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- A (Tues 8-12 + Thurs 8-17)
- Course capacity
- 60
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Jeffrey F. Collamore (9-69757272677375786b4673677a6e34717b346a71)