Non-life Insurance

Objectives

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

Code

10815

Credits

6.0

Responsible teacher

Maria de Lourdes Belchior Afonso

Hours

Weekly - 4

Total - 62

Teaching language

Português

Prerequisites

The students should be provided with knowledge about calculus, numerical analysis, probabilities and statistics and stochastic processes.

Bibliography

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

Available soon

Subject matter

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

Programs

Programs where the course is taught: