Universidade Nova de Lisboa

Universidade Nova de Lisboa

Faculdade de Ciências e Tecnologia

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

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

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 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

  1. Approval in 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 NN=0.4*T1+0.4*T2+0.2*TP be the classifications obtained at the regular season. The student is approved in the regular season if NN>=9.5

    Approval in the supplementary season 
    The evaluation in the supplementary season consists of: 1 exam to be held during the examination period of the supplementary season, and 1 practical work, to be done during the class period. Let ER and TP be the scores obtained, respectively, in the exam and in the practical work. Let NR=0.8*ER+0.2*TP be the classification obtained at the supplementary season. The student is approved in the supplementary season if NR>=9.5

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