Risk Management in Non-Life Insurance
Code
11033
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Gracinda Rita Diogo Guerreiro
Weekly hours
4
Total hours
70
Teaching language
Português
Objectives
The goals of this course are based in part on "Core Syllabus for Actuarial Training in Europe" proposed by the "Groupe des Associations d''''''''''''''''Consultatif Actuaires des Pays des Communautés Européennes". It is part of the goals of the discipline to study provisioning methods, emphasizing the Claims reserves, considering deterministic and stochastic models. Another goal is to understand the fundamentals of charging a priori, using usual methods in the insurance business: Credibility Theory and Generalized Linear Models. It is also intended to convey the traditional models for pricing a posteriori: Bonus Malus Systems. It also addresses the issue of Branch disease and the impact of Solvency II on risk measures. The student will acquire training in mathematical techniques that are of particular relevance to actuarial work in non-life insurance.
Prerequisites
Students should have knowledge at the level of Calculus, Probability, Statistics, Generalized linear models, Markov chains.
Subject matter
Reserves: Deterministic and Stochastic Models
Credibility Theory and Generalized Linear Models applied to a priori pricing.
Bonus Malus Systems
Insurance and Health Benefits: definitions and specifics of Disease Branch
Solvency II
Health Insurance: definitions and specificities.
Bibliography
Portuguese legislation
Centeno, M.L. (2002), Teoria do Risco na Actividade Seguradora, Celta Editora.
Buhlmann, H. and Gisler, A. (2005). A Course in Credibility Theory and its Applications, Springer.
Dobson, A. (1990), An Introduction to Generalized Linear Models, Chapman & all, London.
HABERMANN, S. e PITACCO, E. (1999), Actuarial Models for Disability Insurance, Chapman and Hall/CRC, Londres.
Lemaire, J. (1995), Bonus-Malus Systems in Automobile Insurance, Kluwer Academic Publishers.
Ohlsson, E.; Johansson, B. (2010), Non-Life Insurance Pricing with Generalized Linear Models, Springer.
Faculty of Actuaries (1997) Claim Reserving Manual
Teaching method
The teacher presents the themes using slides and privileging the exchange of ideas to reach the goal of each lesson. Students perform practical application of the concepts acquired in class throughout the semester. Whenever possible the matter is illustrated with real examples from insurance. Classes take place in the laboratory to be possible to access content on the internet and solving problems using Excel, R and Mathematica.
Evaluation method
FREQUENCY
It is attributed to students who have attended at least 5 classes. Are exempted from obtaining it all students with special status.
EVALUATION
Only students who obtain frequency or have special status can attend assessment tests. The evaluation is performed through three practical assignments, (TP1,TP2, TP3).
The absence of an assessment it is 0 values in this evaluation.
simultaneously check if the following conditions:
Continuous Evaluation:
A student gets approval in the course if:
NT = 0.3 TP1+0.4 TP2 +0.3 TP3>=9.5
Evalution in Recurrence:
A student gets approval in the course if:
- NE >=7,5 , with NE the grade of the exam
- NR=0,25 TP1+0,25 TP2+0,5 NE >= 9,5, with TP1 e TP2 the two best grades of the practical assignment.
IMPROVEMENT OF GRADE
Every student who wishes to improve the grade must sign up for this purpose, the Academic Division. The improvement can be made in Época de Recurso. It is requires that:
NEM = 0.5 EM + 0.25 TP1 + 0.25 TP2 is higher than the previous grade.
If NF >=18.5 or Ne>=18.5 the student may opt by final grade equal to 18 or to do an extra assignment.