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”.
Maria de Lourdes Belchior Afonso
Weekly - 4
Total - 62
The students should be provided with knowledge about calculus, numerical analysis, probabilities and statistics and stochastic processes.
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
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.
- Loss distributions
- Risk models
- The agregate claims distribution
- Ruin theory
Programs where the course is taught: