NMAA05117U Stochastic Processes in Non-Life Insurance (SkadeStok)

Volume 2023/2024

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.

VidSand 1 or similar.

Academic qualifications equivalent to a BSc degree is recommended.
4 hours of lectures and 3 hours of exercises per week for 7 weeks.
  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 132
  • Theory exercises
  • 21
  • Exam
  • 25
  • Total
  • 206
Feedback by final exam (In addition to the grade)
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
Written aids allowed

Written aids allowed, but no electronic aids allowed.

Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner

Same as ordinary.   If ten or fewer students have signed up for re-exam, the type of assessment will be changed to a 50-minute oral exam without preparation or aids.

Criteria for exam assesment

Den studerende skal på tilfredsstillende måde godtgøre, at vedkommende lever op til fagets målbeskrivelse.