Non-life Insurance
Code
10815
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Rui Manuel Rodrigues Cardoso
Weekly hours
4
Total hours
62
Teaching language
Português
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”.
Prerequisites
The students should be provided with knowledge about calculus, numerical analysis, probabilities and statistics and stochastic processes.
Subject matter
- Loss distributions
- Risk models
- The agregate claims distribution
- Premiuns
- Reinsurance
- Ruin theory
Bibliography
Asmussen, S. (2000) Ruin Probabilities, World Scientific, River Edge, NJ
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. (2001) Modern Actuarial Risk Theory, Kluwer Academic Publishers, Boston
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2004) Loss Models, John Wiley & Sons, New Jersey
Rolski, T., Schmidli, H., Schmidt, V. and Teugels, J. (1999) Stochastic Processes for Insurance and Finance, John Wiley & Sons, Chichester
Teaching method
The subjects to study are exposed in an oral way, motivating by this way the students to study by themselves and simultaneously some points of interest are referred. Then the 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 proposed exercises are worked out using computational tools.
Evaluation method
- Evaluation by tests
a. The assesment by tests is composed of four tests.
b. Let T1,T2 and T3 the grades obtained in each test, by cronological order.
c. Let NT=(T1+T2+T3)/3
d. The student succed if NT>=9.5 - Evaluation by exam
a. Any student enrolled in this course can be evaluated by exam
b. The student succed if the grade obtained is >=9.5 - Examination:
a. Each test is written, individual and with consultation of a form, if it is needed.
b. Each test is evaluated of 0 the 20 values, with rounding to tenth.
c. It does not have daily pay-registration in the tests.
d. It is necessary to take a notebook, calculator and a document of identification with photograph (e.g., Identity or Student cards) to the examination.
e. Any fraud implies to fail.