NMAA05117U  Stochastic Processes in Non-Life Insurance (SkadeStok)

Volume 2018/2019

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics


Stochastic processes in non-life insurance; ruin theory; claims reserving.

Learning Outcome

Knowledge:  At the end of the course, the student should develop a thorough understanding of renewal theory, perturbation techniques, and martingale techniques as they apply to problems in risk theory.  The student should develop a thorough understanding of the theory behind the Cramér-Lundberg model in the subexponential case.   Moreover, the student should develop a basic knowledge of claims reservation (chain ladder method, Mack's formula, and some related methods).

Skills:  The students should develop problem-solving skills for claims reservation  and 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 student should develop a working knowledge of renewal theory, perturbation arguments, and martingale techniques in connection with the Cramér-Lundberg model and some of its extensions, and develop a working knowledge of claims reservation.

4 hours of lectures and 3 hours of exercises per week for 7 weeks.
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
Written aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner

Same as ordinary

Criteria for exam assesment

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

  • Category
  • Hours
  • Exam
  • 25
  • Lectures
  • 28
  • Theory exercises
  • 15
  • Preparation
  • 138
  • Total
  • 206