300-304 Risk Theory

Coordinator:

Prerequisite/s:

Timetable:

Contact:

Objectives:

On completion of this subject, students should be able to:

• calculate probabilities for, and moments of, loss distributions both with and without simple reinsurance arrangements;

• construct risk models appropriate to short term insurance contracts and calculate the moment generating function and the moments for the risk models both with and without simple reinsurance arrangements;

• calculate and approximate the aggregate claims distribution for short term insurance contracts;

• explain the concept of ruin for a risk model, calculate the adjustment coefficient and derive Lundberg's inequality for a compound Poisson model. Describe the effect on the probability of ruin of changing parameter values and of simple reinsurance arrangements; and

• describe and apply the fundamental concepts of credibility theory.

Content:

Statistical distributions in insurance; inferences from insurance data; risk models, ruin theory; experience rating and credibility theory.

Assessment:

Prescribed Texts:

• I D Currie, Loss Distributions
• D C M Dickson and H R Waters, Risk Models
• D C M Dickson & H R Waters, Ruin Theory
• H R Waters, Credibility Theory