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Online course materials for MATH69542

Risk Theory


Unit code: MATH69542
Credit Rating: 15
Unit level: Level 6
Teaching period(s): Semester 2
Offered by School of Mathematics
Available as a free choice unit?: N

Requisites

None

Aims

This unit aims at providing students with a further grounding in the important statistical and probabilistic techniques and models relevant to the non-life insurance industry.

Overview

Following up on the course unit General Insurance this unit introduces further concepts and models relevant to the non-life industry, in particular the important concept of ruin in a risk model is discussed.

Learning outcomes

Upon successful completion, the students are expected to be able to describe, fully understand and apply the notions and models developed during the course. This concerns both the mathematical techniques and the actuarial interpretation.

Assessment methods

  • Other - 10%
  • Written exam - 90%

Assessment Further Information

  • Coursework 10%
  • Examination at the end of the semester, three hours duration, 90%.

Syllabus

- Risk models. Several models, probability and consequences of ruin, Cramer-Lundberg.

- Premium principles.

- Bayesian statistics.

- Credibility Theory.

- Advanced Risk Models, including dynamic optimal reinsurance strategies.

 

Recommended reading

Core Reading: Subject CT6, Statistical Methods. Produced by the Actuarial Education Company (www.acted.co.uk).

Feedback methods

Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  Coursework or in-class tests (where applicable) also provide an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.

Study hours

  • Lectures - 33 hours
  • Tutorials - 11 hours
  • Independent study hours - 106 hours

Teaching staff

Kees Van Schaik - Unit coordinator

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