Non-life Insurance


The main goal of this course is to provide knowledge about Non-life Insurance, mainly the student will be able to mathematical model the risk, in such way that it is possible to obtain the aggregate claim distribution, premiums, upper bounds for the ruin probability and to analyse the effects of reinsurance. The objectives of this course are based in the “Core Syllabus for Actuarial Training in Europe” proposed by the “Groupe Consultatif des Associations D’Actuaires des Pays des Communautes Europeennes”.

General characterization





Responsible teacher

Maria de Lourdes Belchior Afonso


Weekly - 4

Total - 62

Teaching language



Available soon


Asmussen, S.  & Albrecher, H. (2010) Ruin Probabilities, World Scientific, Singapore

Bowers, Newton, Gerber, Hickman, Jones and Nesbitt. (1997) Actuarial Mathematics (second edition). Itasca, Illinois: The Society of Actuaries

Buhlmann, H. (1970) Mathematical Methods in Risk Theory, Springer-Verlag, New York

Centeno, M. L. (2003), Teoria do Risco na Actividade Seguradora, Celta Editora - Colecção Económicas, Oeiras

Dickson, D. C. M. (2005) Insurance Risk and Ruin, Cambridge University Press, Cambridge

Egídio dos Reis, A. D. (1999) Teoria da Ruína, CEMAPRE, n. 17/TA, ISEG, Lisboa

Kaas, R., Goovaerts, M., Dhaene, J. & Denuit, M. (2008) Modern Actuarial Risk Theory - using R (second edition), Springer

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (20012) Loss Models: From Data To Decisions (fourth edition), Wiley

Rolski, T., Schmidli, H., Schmidt, V. and Teugels, J. (1999) Stochastic Processes for Insurance and Finance, Wiley

Teaching method

The subjects to study are exposed in an oral way, motivating the students to research the subject. Students are asked to work out the proposed exercises and all the doubts concerning these exercises are then discussed. The lectures are in a computer laboratory and the exercises are worked out using computational tools.

Evaluation method

Frequency acquisition

The frequency is obtained for regular students by attending the TP classes. It is only possible to have 4 unjustified absences. Students with special status, that don´t obtain frequency by attending classes, will have to obtain T1> = 7.5.

Approval in the regular season

The evaluation in normal season consists of: 2 tests and 1 practical work to be done during the class period. Let T1 , T2 and TP be the scores obtained, respectively, in both tests and in the practical work. Let AC=0.3*T1+0.5*T2+0.2*TP be the classifications obtained at the regular season. The student is approved in the regular season if AC>=9.5

Subject matter

  1. Loss distributions
  2. Risk models
  3. The agregate claims distribution
  4. Premiuns
  5. Reinsurance
  6. Ruin theory


Programs where the course is taught: