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Credibility Theory

  • Teacher(s):   N.Smith  
  • Course given in: English
  • ECTS Credits: 3 credits
  • Schedule: Autumn Semester 2019-2020, 2.0h. course + 2.0h exercices (weekly average)
  •  sessions
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Actuarial Science

 

Objectives

Credibility theory is extensively being used by actuaries for pricing and reserving purposes. This course of the MScAS program aims to provide the basic analytical framework of credibility theory, and discusses various insurance applications.

Contents

1. Limited Fluctuations
2. Exact Credibility
3. Bühlmann Model
4. Bühlmann-Straub Model
5. Bonus-malus system
6. Credible claims reserves, the Benktander-­Hovinen method

References

  1. Bühlmann, H., and Gisler, A. (2005) A Course in Credibility Theory and its Applications. Springer
  2. Kass, R., Goovaerts, M., Dhaene, J., and Denuit, M. (2008) Modern Actuarial Risk Theory: Using R. 2nd Edt, Springer
  3. Mikosch, T. (2006) Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. 2nd Edt, Springer
  4. Herzog T.N. (1994) Introduction to Credibility Theory. Chapter 5, ACTEX Publications

Pre-requisites

Good understanding of probability models, basic statistics

Evaluation

First attempt

Exam:
Written 2h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed with restrictions
Evaluation:

Final written exam (100% of the final mark)

Retake

Exam:
Written 2h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed with restrictions
Evaluation:

Retake written exam (100% of the final mark)



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