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Risk Theory

  • Teacher(s):   H.Albrecher  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2018-2019, 4.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Actuarial Science

 

Objectives

The goal of this course is to provide an introduction to risk theory, in particular how to describe and model insurance risk and the effects of aggregating risks, how to determine appropriate premiums for insurance risk and how to use mathematical and probabilistic tools to assess the solvency of an insurance corporation. It will also be discussed what forms of reinsurance are useful in insurance and what their effects are on various measures of safety and profitability of the insurance business.

Contents

  • Individual Risk Model
  • Collective Risk Model
  • Premium Calculation
  • Ruin Theory
  • Reinsurance

References

N. Bowers, H. Gerber, J. Hickman, D. Jones and C. Nesbitt. Actuarial Mathematics, Society of Actuaries, Illinois 1986.

D. Dickson: Insurance Risk and Ruin. Cambridge University Press, 1999.

S. Klugman, H. Panjer, G. Willmot. Loss Models. Third Edition, Wiley, Hoboken, NJ, 2008.

T. Mikosch: Non-Life Insurance Mathematics. Springer 2008.

H. Albrecher, J. Beirlant, J. Teugels. Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester, 2017.

Pre-requisites

A basic course on probability theory.

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Final exam (60%) + Mid-term exam (20%) + Class participation and take-home problems (20%)

Retake

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Retake exam (60%) + Mid-term exam (20%) + Class participation and take-home problems (20%)



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