NMAA05117U Stochastic Processes in Non-Life Insurance (SkadeStok)

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.