INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM746 - Actuarial Risk Theory

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

Basic concepts of probability in connection with Risk Theory; introduction to risk processes (claim number process, claim amount process, total claim number process, total claim amount process, inter-occurance process); convolution and mixed type distributions; risk models (individual and collective risk models); numerical methods (simple methods for discrete distributions, Edgeworth approximation, Esscher approximation, normal power approximation); premium calculation principles; Credibility Theory; retentions and reinsurance; Ruin Theory; ordering of risks.

Course Objectives

Course Learning Outcomes

Tentative (Weekly) Outline

Basic concepts of probability in connection with Risk Theory; introduction to risk processes (claim number process, claim amount process, total claim number process, total claim amount process, inter-occurance process); convolution and mixed type distributions; risk models (individual and collective risk models); numerical methods (simple methods for discrete distributions, Edgeworth approximation, Esscher approximation, normal power approximation); premium calculation principles; Credibility Theory; retentions and reinsurance; Ruin Theory; ordering of risks.

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